Massey Energy (MEE) is a mining company that processes and ships coal, operating 30 underground mines and 13 surface mines in West Virginia, Kentucky and Virginia. The company's steam coal is primarily purchased by utilities and industrial clients as fuel for power plants. On October 24, 2002, after the close of trading, the company announced its third quarter earnings.

The file data3.xls (on the blackboard) contains daily excess returns (i.e. daily returns in excess of the risk-free return) for MEE, as well as daily excess returns for the market index (i.e. market returns in excess of the risk-free rate of return).

• Plot the daily abnormal returns and the daily cumulative abnormal returns for MEE over a 41 trading day window starting 10 days before the announcement and ending 30 days after the announcement (from day -10 to day +30). Use the returns during 210 trading days before the event window (days -220 to -11) to estimate the expected returns for MEE.

• Is there any unusual activity at announcement? Are your results consistent with the efficient market hypothesis?

Date 20011001 20011002 20011003 20011004 20011005 20011008 20011009 20011010 20011011 20011012 20011015 20011016 20011017 20011018 20011019 20011022 20011023 20011024 20011025 20011026 20011029 20011030 20011031 20011101 20011102 20011105 20011106 20011107 20011108 20011109 20011112 20011113 20011114 20011115 20011116 20011119 20011120 20011121 20011123 20011126 20011127 20011128 20011129 20011130 20011203 20011204 20011205 20011206 20011207 r(MEE)-r(f) 0.00155 0.01925 0.02488 0.02295 0.02687 0.00384 0.06366 0.04356 -0.0216 -0.01184 -0.02402 0.09762 -0.01067 -0.04104 0.00626 0.0521 0.02661 0.01917 -0.00558 0.01277 0.02669 -0.02354 0.0281 -0.06343 -0.00987 -0.00733 -0.01002 -0.00371 -0.01926 0.00005 0.00823 0.01032 -0.02405 -0.06903 -0.00285 0.01071 -0.01159 -0.01289 0.01802 0.00243 0.0112 -0.0294 -0.03621 0.09641 0.02933 -0.0229 -0.01112 0.02492 0.04798 r(m)-r(f) -0.009563 0.007506 0.02116 0.01159 0.001001 -0.001445 -0.003579 0.019927 0.019996 0.000604 0.003056 0.011879 -0.005953 -0.004485 0.005195 0.008525 0.00101 0.004409 0.011619 0.007713 -0.008442 -0.010959 0.011263 0.009307 -0.000275 0.008978 0.007555 0.001211 0.003493 0.003902 0.001826 0.014456 0.008024 0.000879 0.006633 0.012091 -0.004341 0.000843 0.01093 0.006176 0.002208 -0.009436 0.009676 0.00157 -0.006905 0.012463 0.017441 0.006793 0.002312 20011210 20011211 20011212 20011213 20011214 20011217 20011218 20011219 20011220 20011221 20011224 20011226 20011227 20011228 20011231 20020102 20020103 20020104 20020107 20020108 20020109 20020110 20020111 20020114 20020115 20020116 20020117 20020118 20020122 20020123 20020124 20020125 20020128 20020129 20020130 20020131 20020201 20020204 20020205 20020206 20020207 20020208 20020211 20020212 20020213 20020214 20020215 20020219 20020220 20020221 -0.01994 -0.00586 -0.02528 -0.00713 0.01897 -0.03542 0.02833 0.01049 0.02776 0.0254 0.02371 0.00604 0.0015 0.01149 0.0232 0.02169 -0.00947 0.04617 0.01042 -0.129492 -0.0005 -0.0555 -0.0393 -0.02068 0.01698 -0.02013 -0.00175 -0.00238 -0.0005 -0.00866 -0.00999 0.00142 -0.02473 -0.01553 0.00083 -0.01773 -0.00927 -0.01683 -0.01295 -0.01661 -0.01687 0.01252 0.01021 -0.0111 -0.00836 0.00382 -0.01484 -0.01505 0.00688 0.00316 -0.006837 0.003372 0.002613 -0.007843 0.045246 0.005578 0.007574 -0.002234 -0.008153 0.010697 0.004219 0.007404 0.008528 0.009822 0.007113 0.00843 0.013431 0.011741 0.000402 0.005389 0.001239 0.000825 -0.003441 -0.009901 0.001515 -0.010482 0.00747 -0.005633 -0.007615 0.008261 0.006085 0.000733 0.000923 0.097458 0.004123 0.010055 -0.001668 -0.015664 -0.007386 -0.009491 -0.005425 0.012471 0.008332 0.000354 0.006309 -0.004263 -0.003295 -0.014134 0.005467 -0.008232 20020222 20020225 20020226 20020227 20020228 20020301 20020304 20020305 20020306 20020307 20020308 20020311 20020312 20020313 20020314 20020315 20020318 20020319 20020320 20020321 20020322 20020325 20020326 20020327 20020328 20020401 20020402 20020403 20020404 20020405 20020408 20020409 20020410 20020411 20020412 20020415 20020416 20020417 20020418 20020419 20020422 20020423 20020424 20020425 20020426 20020429 20020430 20020501 20020502 20020503 0.00826 -0.00557 0.0235 -0.00618 0.0095 0.00091 0.01998 -0.0005 -0.00396 0.08283 -0.02229 0.03947 0.01084 -0.00299 -0.01674 0.04394 -0.02786 -0.01675 -0.02274 0.01834 0.02947 -0.00545 0.03248 0.02902 -0.0093 0.01843 0.06744 0.00004 -0.01463 -0.00712 0.00061 -0.01214 0.03203 -0.0168 -0.04357 -0.02012 0.01421 -0.02312 0.00247 0.00719 -0.02869 -0.0011 -0.02347 -0.04258 -0.03151 -0.0005 -0.00383 -0.09749 -0.00717 0.00621 0.004396 0.005644 0.003938 0.003225 -0.000543 0.012723 0.015638 0.003221 0.013086 0.004253 0.009188 0.005035 -0.002144 -0.002953 0.004222 0.005137 0.005262 0.00309 -0.005137 0.006828 0.000054 -0.006532 0.005206 0.006206 0.006029 -0.000673 0.094265 -0.005472 0.001284 0.000444 0.002994 -0.00108 0.009037 -0.009558 0.011855 -0.000657 0.016937 0.001532 0.003614 0.002556 -0.007959 -0.000947 -0.001863 -0.001706 -0.008605 -0.005787 0.010313 0.001487 0.000571 -0.001275 20020506 20020507 20020508 20020509 20020510 20020513 20020514 20020515 20020516 20020517 20020520 20020521 20020522 20020523 20020524 20020528 20020529 20020530 20020531 20020603 20020604 20020605 20020606 20020607 20020610 20020611 20020612 20020613 20020614 20020617 20020618 20020619 20020620 20020621 20020624 20020625 20020626 20020627 20020628 20020701 20020702 20020703 20020705 20020708 20020709 20020710 20020711 20020712 20020715 20020716 -0.01902 -0.02088 -0.00666 -0.01445 -0.03273 0.05718 0.02177 0.00326 0.00249 -0.00796 0.00702 -0.0005 0.01069 0.02976 0.01956 -0.02789 -0.01061 -0.01582 -0.03013 -0.00737 -0.00434 0.00644 -0.03881 -0.00528 -0.01171 0.00355 0.00595 0.01953 -0.00678 0.02322 -0.00513 -0.03308 0.01714 0.01999 0.00877 0.02092 -0.02672 0.01027 -0.03103 -0.00837 -0.00685 -0.03964 0.04023 -0.02446 -0.03487 -0.04287 -0.02705 -0.04595 -0.02526 -0.04347 -0.010834 -0.005049 0.019521 -0.007536 -0.007762 0.007852 0.015748 0.00132 -0.000455 0.004235 -0.005118 -0.008083 -0.001741 0.007924 -0.004266 -0.001225 -0.005189 -0.000483 0.003884 -0.01725 -0.00329 0.000682 -0.014352 0.002123 -0.00242 -0.008366 -0.003796 -0.006426 0.000821 0.01515 -0.000001 -0.013986 -0.003114 -0.001789 -0.004449 -0.007198 -0.007959 0.012002 0.012512 -0.018 -0.022056 -0.004277 0.022574 -0.007237 -0.006322 -0.015845 -0.003589 -0.001082 -0.009643 0.000101 20020717 20020718 20020719 20020722 20020723 20020724 20020725 20020726 20020729 20020730 20020731 20020801 20020802 20020805 20020806 20020807 20020808 20020809 20020812 20020813 20020814 20020815 20020816 20020819 20020820 20020821 20020822 20020823 20020826 20020827 20020828 20020829 20020830 20020903 20020904 20020905 20020906 20020909 20020910 20020911 20020912 20020913 20020916 20020917 20020918 20020919 20020920 20020923 20020924 20020925 0.01991 0.0065 -0.10278 -0.02152 -0.11462 0.01991 0.0345 -0.02103 0.11541 -0.06127 -0.13697 0.05127 -0.15853 -0.06665 0.04233 -0.05263 -0.0005 -0.05717 -0.0641 0.0429 0.07545 -0.00554 0.07045 0.06417 0.05135 0.10232 0.05442 -0.00534 0.07006 -0.05164 -0.01846 -0.00904 0.00196 -0.02259 -0.0005 -0.00175 0.04975 -0.0615 0.01479 -0.01556 -0.03489 0.02457 0.00722 -0.01327 -0.0626 -0.04188 -0.02208 -0.04462 0.00104 0.01332 0.005638 -0.013156 -0.018686 0.08456 -0.030648 0.018452 -0.002689 0.007541 0.035291 0.005957 -0.003161 -0.008344 -0.017286 -0.020835 0.022055 0.004794 0.011306 0.00293 0.000487 -0.011282 0.0167 0.005203 0.007347 0.012317 -0.003924 0.017105 0.012392 -0.008718 0.011306 -0.010228 -0.012781 0.003987 0.003141 -0.023013 0.012222 -0.012573 0.015391 0.00087 0.003289 0.002957 -0.010375 0.002755 -0.005779 -0.011731 -0.006205 -0.017444 0.001203 -0.019014 -0.01084 0.016501 20020926 20020927 20020930 20021001 20021002 20021003 20021004 20021007 20021008 20021009 20021010 20021011 20021014 20021015 20021016 20021017 20021018 20021021 20021022 20021023 20021024 20021025 20021028 20021029 20021030 20021031 20021101 20021104 20021105 20021106 20021107 20021108 20021111 20021112 20021113 20021114 20021115 20021118 20021119 20021120 20021121 20021122 20021125 20021126 20021127 20021129 20021202 20021203 20021204 20021205 0.01011 -0.01257 -0.01577 0.015 -0.0005 -0.09974 -0.02423 -0.0005 -0.04564 -0.08777 -0.03636 0.00159 0.0095 0.02345 -0.04323 0.04675 -0.005 -0.02209 -0.01133 0.02628 0.00605 -0.19102 -0.07102 -0.0148 0.025148 0.07186 0.02486 0.004754 0.0103 -0.0117 0.0231 -0.01419 0.00851 -0.005 0.02213 0.01575 -0.01755 0.01148 0.01707 -0.0144 0.03834 -0.01009 -0.03496 0.01217 0.01593 -0.005 0.013018 -0.03524 -0.0285 0.0047 0.008336 0.09123 -0.003013 0.008903 -0.011473 -0.005595 -0.015775 -0.02095 -0.001535 -0.023812 0.015798 0.02611 0.003815 0.031816 -0.011135 0.026129 0.00981 0.010604 0.005251 0.013107 0.001966 0.0014286 0.000777 -0.003519 0.012882 0.006294 0.018245 0.01534 0.002502 0.0016198 -0.010366 -0.002872 -0.013646 0.009297 0.000792 0.017747 0.003214 -0.001093 -0.002556 0.016166 0.018913 0.006199 0.012243 -0.005197 0.02234 0.005468 0.00449 -0.009403 -0.004484 -0.005509 20021206 -0.00832 0.003164 20021209 -0.0106 -0.0017635 20021210 -0.01778 0.009364 20021211 0.01332 0.00206 20021212 0.02564 0.002228 20021213 -0.01196 -0.009224 20021216 -0.03055 0.009688 20021217 0.02564 -0.004909 20021218 -0.04201 -0.012243 20021219 0.00836 -0.003696 20021220 -0.01611 0.004954 20021223 -0.00149 0.002445 20021224 -0.0005 0.001502 20021226 -0.0005 0.002705 20021227 -0.02423 -0.004736 20021230 0.01496 -0.003006 20021231 -0.0137 0.010607