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Market model estimation
Step #1: A firm’s estimation of intercept (α) and coefficient (β) in the market model
Rc = α + β * Rm
where
Rc = a company’s stock return
Rm = return of the stock market (Published S&P composite index)
Choose a S&P 500 company in the database for any daily (six months such as April 2013 to September 2013) returns and corresponding market returns and run the simple regression to estimate α and β. Then, compare α and β for the first three-month period to those for the second three-month period. (Check the stability of α and β.)
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Step #2: Measurement of cumulative abnormal returns
Pick up the quarterly earnings announcement day after the six-month period (some day between October 1 and December 31, 2013), and apply the market model you estimated using six-months returns. Calculate abnormal return by comparing the firm’s actual return around earnings announcement (-2 to +2 days) to the estimated return using the market model by applying the market return on the same period of earnings announcement. Cumulative abnormal returns are the aggregated five-day’s abnormal returns.
Abnormal return on date -2 = Rc(-2) – E(Rc(-2))
Abnormal return on date -1 = Rc(-1) – E(Rc(-1))
Abnormal return on date 0 = Rc(0) – E(Rc(0))
Abnormal return on date +1 = Rc(+1) – E(Rc(+1))
Abnormal return on date +2 = Rc(+2) – E(Rc(+2))
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product code: Computer Science-AW509
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