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The daily returns for a stock and the S&P 500 are given below. The stock has an expected return equal to the index return. Date
The daily returns for a stock and the S&P 500 are given below. The stock has an expected return equal to the index return.
Date | Stock return (%) | S&P 500 return (%) |
Feb. 8 | 0.6 | 0.5 |
Feb. 9 | -0.2 | -0.4 |
Feb. 10 | 0.1 | -0.1 |
Feb. 11 | -0.3 | -0.2 |
Feb. 12 | 0.7 | 0.3 |
Feb. 13 | 0.4 | 0.3 |
Feb. 14 | 0.2 | 0.5 |
1. What is the cumulative abnormal return over that period (in percentage points)?
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