The following table lists the daily return of Stock S and market T over a 7-day event window. Event -3 day-2 day -1 day day +1 day +2 day +3 day window Return of Stock (%) 1.0099 1.0135 1.0286 1.1059 1.0845 1.0608 0.9943 Return of market T(%) 0.9932 1.0025 1.0105 0.9895 1.0178 1.0092 0.9736 If the relationship between Stock S and Market T during pre-event study window is estimated as follows: Rs. t = 0.0065 + 1.01 X Rr.t (a) (20%) Explain the definition of event study window; explain how it corresponds with and differs from calendar time. (b) (30%) Work out the expected return and abnormal return for Stock S during the event window. (c) (20%) Interpret the implication of the result with regard to both Stock S and Market T. Give an example of possible event that could cause the movement of the equity price to be consistent with the movement of Stock S. (d) (30%) What properties the pattern of abnormal returns should satisfy within an event window when the event is supposed to affect the security returns within a semi-strong efficient market. The following table lists the daily return of Stock S and market T over a 7-day event window. Event -3 day-2 day -1 day day +1 day +2 day +3 day window Return of Stock (%) 1.0099 1.0135 1.0286 1.1059 1.0845 1.0608 0.9943 Return of market T(%) 0.9932 1.0025 1.0105 0.9895 1.0178 1.0092 0.9736 If the relationship between Stock S and Market T during pre-event study window is estimated as follows: Rs. t = 0.0065 + 1.01 X Rr.t (a) (20%) Explain the definition of event study window; explain how it corresponds with and differs from calendar time. (b) (30%) Work out the expected return and abnormal return for Stock S during the event window. (c) (20%) Interpret the implication of the result with regard to both Stock S and Market T. Give an example of possible event that could cause the movement of the equity price to be consistent with the movement of Stock S. (d) (30%) What properties the pattern of abnormal returns should satisfy within an event window when the event is supposed to affect the security returns within a semi-strong efficient market