Question 10 Consider a Siamese Twins company, called XY, with its two parts X and Y. X and Y are listed both in the US and in the UK, but X is mainly traded in the US and Y is mainly traded in the UK. Let the return differential between X and Y be x - y, where x is the return of X and y is the return of Y. Let the US market return ber and UK market return be s. (a) Under excess comovement, if you run a regression of regressing x-y on r and s, explain what the coefficient estimates on r and s are likely to be. (b) Explain why such excess comovement, e.g., Royal Dutch Shell, is puzzling. (c) Explain the potential reasons for this type of Siamese Twins phenomenon.