Cumulative Abnormal Returns Delta, United, and American Airlines announced purchases of planes on July 18 (7/18), February 12 (2/12), and October 7 (10/7), respectively. Delta United American Date Market Return Company Return Date Market Return Company Return Date Market Return Company Return 7/12 −.38 −.55 2/8 −.87 −1.14 10/1 .58 .43 7/13 .00 .28 2/9 −.97 −1.14 10/2 .48 .75 7/16 .85 1.06 2/10 .48 .27 10/3 1.18 1.18 7/17 −.85 −.68 2/11 .68 2.68 10/6 .18 −1.99 7/18 −2.17 1.07 2/12 −.38 −.23 10/7 −2.28 −.44 7/19 −.92 −.58 2/15 1.18 2.36 10/8 .58 .58 7/20 −.97 −1.14 2/16 .58 .58 10/9 −.38 −.21 7/23 .78 .43 2/17 −.38 −.26 10/10 .38 −.21 7/24 .28 .15 2/18 .38 .13 10/13 .00 −.18 Given the above information, calculate the cumulative abnormal return (CAR) for these stocks as a group. All of the stocks have a beta of 1 and no other announcements are made. (A negative answer should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.
Cumulative Abnormal Returns Delta, United, and American Airlines announced purchases of planes on July 18 (7/18), February 12 (2/12), and October 7 (10/7), respectively. Delta United American Date Market Return Company Return Date Market Return Company Return Date Market Return Company Return 7/12 −.38 −.55 2/8 −.87 −1.14 10/1 .58 .43 7/13 .00 .28 2/9 −.97 −1.14 10/2 .48 .75 7/16 .85 1.06 2/10 .48 .27 10/3 1.18 1.18 7/17 −.85 −.68 2/11 .68 2.68 10/6 .18 −1.99 7/18 −2.17 1.07 2/12 −.38 −.23 10/7 −2.28 −.44 7/19 −.92 −.58 2/15 1.18 2.36 10/8 .58 .58 7/20 −.97 −1.14 2/16 .58 .58 10/9 −.38 −.21 7/23 .78 .43 2/17 −.38 −.26 10/10 .38 −.21 7/24 .28 .15 2/18 .38 .13 10/13 .00 −.18 Given the above information, calculate the cumulative abnormal return (CAR) for these stocks as a group. All of the stocks have a beta of 1 and no other announcements are made. (A negative answer should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Problem 14-1 Cumulative Abnormal Returns
| Delta, United, and American Airlines announced purchases of planes on July 18 (7/18), February 12 (2/12), and October 7 (10/7), respectively. |
| Delta | United | American | ||||||
|---|---|---|---|---|---|---|---|---|
| Date | Market Return | Company Return | Date | Market Return | Company Return | Date | Market Return | Company Return |
| 7/12 | −.38 | −.55 | 2/8 | −.87 | −1.14 | 10/1 | .58 | .43 |
| 7/13 | .00 | .28 | 2/9 | −.97 | −1.14 | 10/2 | .48 | .75 |
| 7/16 | .85 | 1.06 | 2/10 | .48 | .27 | 10/3 | 1.18 | 1.18 |
| 7/17 | −.85 | −.68 | 2/11 | .68 | 2.68 | 10/6 | .18 | −1.99 |
| 7/18 | −2.17 | 1.07 | 2/12 | −.38 | −.23 | 10/7 | −2.28 | −.44 |
| 7/19 | −.92 | −.58 | 2/15 | 1.18 | 2.36 | 10/8 | .58 | .58 |
| 7/20 | −.97 | −1.14 | 2/16 | .58 | .58 | 10/9 | −.38 | −.21 |
| 7/23 | .78 | .43 | 2/17 | −.38 | −.26 | 10/10 | .38 | −.21 |
| 7/24 | .28 | .15 | 2/18 | .38 | .13 | 10/13 | .00 | −.18 |
|
Given the above information, calculate the cumulative abnormal return (CAR) for these stocks as a group. All of the stocks have a beta of 1 and no other announcements are made. (A negative answer should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16. |
I got most of the answer wrong (please see attach) and I don't know why. More interestingly, some of the abnormal return are wrong but their sum is correct.. I've not idea why that is..
Transcribed Image Text:Given the above information, calculate the cumulative abnormal return (CAR) for these
stocks as a group. All of the stocks have a beta of 1 and no other announcements are
made. (A negative answer should be indicated by a minus sign. Leave no cells blank -
be certain to enter "0" wherever required. Do not round intermediate calculations and
round your answers to 2 decimal places, e.g., 32.16.)
Days from
announcement
-4
-3
-2
-1
0
1
2
3
4
Delta
-0.93 X
0.28
0.21 ✓
-1.53 x
-1.10 x
-1.50 X
-2.11 X
-0.35
-0.13
X Answer is complete but not entirely correct.
Abnormal returns (R¡ – RM)
American
United
-2.01 X
-2.11 X
-0.21✔✓
2.00
-0.61 X
-1.18 X
0.00
-0.64 x
-0.25
-0.15
0.27
0.00
-2.17
-2.72 x
0.00
-0.59 X
-0.17 X
-0.18
Sum
-3.09 X
-1.56 X
0.00
-1.70 X
-4.43 x
-0.32
-2.70 x
-0.82
-0.56
Average
abnormal
return
-1.03 X
-0.52 X
0.00
-0.57 x
-1.48 x
-0.11 X
-0.90 x
-0.27
-0.19
Cumulative
abnormal
return
-1.03 X
-1.55 X
-1.55 X
-2.12 X
-3.59 x
-3.70 x
-4.60 X
-4.87 x
-5.06 X
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