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Abnormal returns The second column in Table 1 3 . 1 shows the monthly return on the British FTSE 1 0 0 index from January
Abnormal returns The second column in Table shows the monthly return on the British FTSE index from January through July The remaining columns show returns on the stocks of two firmsExecutive Cheese and Paddington Beer. Both firms announced their earnings in July Calculate the average abnormal return of the two stocks during the month of the earnings announcement. The earnings of one of these stocks slightly disappointed investors and the earnings of the other were slightly better than expected. Which was which?
a Run a regression using returns from January to June to find the alpha and beta for each stock
bCalculate the abnormal return of each of the stocks on the event
month.
cThe earnings of one of these stocks slightly disappointed investors and the earnings of the other were slightly better than expected. Which was which?
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