Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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 13.1 shows the monthly return on the British FTSE 100 index from January 2015 through July 2017. The remaining columns show returns on the stocks of two firmsExecutive Cheese and Paddington Beer. Both firms announced their earnings in July 2017. 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 2015 to June 2017 to find the alpha and beta for each stock
(b)Calculate the abnormal return of each of the 2 stocks on the event
month.
(c)The earnings of one of these stocks slightly disappointed investors and the earnings of the other were slightly better than expected. Which was which?
image text in transcribed

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Extinction Governance Finance And Accounting

Authors: Jill Atkins, Martina Macpherson

1st Edition

0367492989, 978-0367492984

More Books

Students also viewed these Finance questions

Question

2. What is the impact of information systems on organizations?

Answered: 1 week ago

Question

Evaluate the impact of technology on HR employee services.

Answered: 1 week ago