Using SAS

Assume you are an analyst interested in examining the market reaction to merger announcements. Use the dataset named mergerreturns $($posted in Week $3$ data $-$ we used this data to calculate stock volatility$)$ to calculate $3-$day and $5-$day cumulative abnormal returns for each deal $($i$.$e$.,$ CAR$[$t$-1,$t$+1]$ and CAR$[$t$-2,$t$+2]$ where $$t$$ is the announcement date$).$ Use the following criteria for this event study:

For each deal, estimate a market model for $250$ days, starting $40$ days before the merger $($i$.$e$.,$ day $-41$ to $-290$ relative to Day $0$ which is the announcement date$).$ Store the regression results.

Note: There are some instances where Day $0($announcement date$)$ is a weekend or a holiday. In such cases, use the next available trading day as Day $0.$

Using the coefficient estimates from the market model, estimate the predicted returns during the event periods mentioned above $($i$.$e$.,$ predicted returns for each of the days from $-2$ to $+2).$

Given that we now have observed and predicted returns, estimate abnormal returns and cumulative abnormal returns.

Guidelines for Submission:

Upload an Excel file consisting of three columns: Deal$\_$ID$,$ CAR$3(3-$day CAR$),$ and CAR$5(5-$day CAR