Few days ago, NEW$-$WAVE Corp, a public company announced the hiring of a new CEO via a press

release. Table below reports the return on the stock and the market days before, during, and after the

announcement. The equity beta of NEW$-$WAVE is $1\mathrm{.}0.$ Returns on NEW$-$WAVE and returns on the

market $($SP$/$TSX composite market index$)$ during the $6-$day window period event were as follows:

Day NEWWAVE

Return $(\%)$

Market

Return $(\%)$

Abnormal Return $(\%)$ Cumulative

Abnormal Return

$(\%)$

$-22\mathrm{.}52\mathrm{.}5$

$-122$

$0$

$($Announcement

Day$)$

$133$

$1-1\mathrm{.}5-1\mathrm{.}5$

$2-3-3$

$31\mathrm{.}81\mathrm{.}8$

Assume no news other news occurred before and after announcement day.

a$)$ Determine NEW$-$WAVE abnormal returns and cumulative abnormal returns during the $6-$day

window period. $($Show procedure and values in the table above$).[6$ points$]$

b$)$ Interpret the meaning of the market reaction during the announcement day $($that is$,$ what do

investors infer about the death of the company co$-$founder?$).[4$ points$]$

c$)$ From the results in the $6-$day window period, is the event consistent with market efficiency

$($weak form, semi$-$strong form, or strong form$)?$ Explain. $[4$ points$]$

d$)$ Based on results in the table above, was there possibility of a potential investment strategy?

$[4$ points$]$