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 Market Company Market Company Market Company Date Return Return Date Return Return Date Return Return 7/12 -.47 -.73 2/8 -.96 -1.32 10/1 .67 .35 7/13 .00 .37 2/9 -1.06 -1.32 10/2 .57 .79 7/16 1.97 2.21 2/10 .57 .33 10/3 1.27 1.27 7/17 -1.97 -1.69 2/11 .77 4.33 10/6 .27 -3.57 7/18 -2.26 1.16 2/12 -.47 -.14 10/7 -2.37 -.40 7/19 -.90 -.65 2/15 1.27 3.53 10/8 .67 .67 7/20 -.96 -1.09 2/16 .67 .67 10/9 -.47 -.34 7/23 .78 .48 2/17 -.47 -.28 10/10 .47 -.33 7/24 .27 .03 2/18 .47 .25 10/13 .00 -.27 - 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 "O" wherever required. Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Answer is not complete. Abnormal returns (R; - RM) Average Cumulative Days from announcement Delta United American Sum abnormal return abnormal return -4 -0.26 -0.36 -0.32 -0.94 -0.31✓ -0.31 -3 0.37 -0.26 0.22 0.33 0.11 -0.20✓ -2 0.24 -0.24 0.00 0.00 0.00 -0.20✓ -1 0.28 3.56 -3.84 0.00 -0.20✓ 0 3.42 0.33 1.97 1.91 1.70✓ 1 2.26 0.00 2 0.00 0.13 3 -0.30 0.19 -0.80 -0.30 4 -0.24 -0.22 -0.27 -0.24 1.97
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 Market Company Market Company Market Company Date Return Return Date Return Return Date Return Return 7/12 -.47 -.73 2/8 -.96 -1.32 10/1 .67 .35 7/13 .00 .37 2/9 -1.06 -1.32 10/2 .57 .79 7/16 1.97 2.21 2/10 .57 .33 10/3 1.27 1.27 7/17 -1.97 -1.69 2/11 .77 4.33 10/6 .27 -3.57 7/18 -2.26 1.16 2/12 -.47 -.14 10/7 -2.37 -.40 7/19 -.90 -.65 2/15 1.27 3.53 10/8 .67 .67 7/20 -.96 -1.09 2/16 .67 .67 10/9 -.47 -.34 7/23 .78 .48 2/17 -.47 -.28 10/10 .47 -.33 7/24 .27 .03 2/18 .47 .25 10/13 .00 -.27 - 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 "O" wherever required. Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Answer is not complete. Abnormal returns (R; - RM) Average Cumulative Days from announcement Delta United American Sum abnormal return abnormal return -4 -0.26 -0.36 -0.32 -0.94 -0.31✓ -0.31 -3 0.37 -0.26 0.22 0.33 0.11 -0.20✓ -2 0.24 -0.24 0.00 0.00 0.00 -0.20✓ -1 0.28 3.56 -3.84 0.00 -0.20✓ 0 3.42 0.33 1.97 1.91 1.70✓ 1 2.26 0.00 2 0.00 0.13 3 -0.30 0.19 -0.80 -0.30 4 -0.24 -0.22 -0.27 -0.24 1.97
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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Transcribed Image Text: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
Market Company
Market Company
Market Company
Date
Return Return
Date
Return Return
Date
Return Return
7/12
-.47
-.73
2/8
-.96
-1.32
10/1
.67
.35
7/13
.00
.37
2/9
-1.06
-1.32
10/2
.57
.79
7/16
1.97
2.21
2/10
.57
.33
10/3
1.27
1.27
7/17 -1.97
-1.69
2/11
.77
4.33
10/6
.27
-3.57
7/18
-2.26
1.16
2/12
-.47
-.14
10/7
-2.37
-.40
7/19
-.90
-.65
2/15
1.27
3.53
10/8
.67
.67
7/20
-.96
-1.09
2/16
.67
.67
10/9
-.47
-.34
7/23
.78
.48
2/17
-.47
-.28
10/10
.47
-.33
7/24
.27
.03
2/18
.47
.25
10/13
.00
-.27
-
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 "O" wherever required. Do not round intermediate calculations and
round your answers to 2 decimal places, e.g., 32.16.)
Answer is not complete.
Abnormal returns (R; - RM)
Average
Cumulative
Days from
announcement
Delta
United
American
Sum
abnormal
return
abnormal
return
-4
-0.26
-0.36
-0.32
-0.94
-0.31✓
-0.31
-3
0.37
-0.26
0.22
0.33
0.11
-0.20✓
-2
0.24
-0.24
0.00
0.00
0.00
-0.20✓
-1
0.28
3.56
-3.84
0.00
-0.20✓
0
3.42
0.33
1.97
1.91
1.70✓
1
2.26
0.00
2
0.00
0.13
3
-0.30
0.19
-0.80
-0.30
4
-0.24
-0.22
-0.27
-0.24
1.97
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