In a research paper published in Journal of Financial and Quantitative Analysis, Savor and Wilson (2013) find that "Stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp for all the other days."

10. In a research paper published in Journal of Financial and Quantitative Analysis, Savor and Wilson (2013) find that "Stock market average returns and Sharpe ratios are significantly higher on days when important macroeconomic news about inflation, unemployment, or interest rates is scheduled for announcement. The average announcement-day excess return from 1958 to 2009 is 11.4 basis points (bp) versus 1.1 bp for all the other days." Assume you want to replicate this result. Provide a step by step instruction for this research. (data needed, how to test their hypothesis, etc.)