QUESTION II: THE S&P 500 INCLUDSION ANOMALY.Mean cumulative abnormal return5.50%5.00%4.50%4.00%3.50%3.00%2.50%2.00%1.50%1.00%0.50%0%-0.50%High arbitrage risk ....... Low arbitrage risk-2-1 0 123456789 10 11 12 13 14 15 16 17 18 19 20Trading day relative to addition announcementFig. 2.4 Mean Cumulative AbnormalReturns For Stocks Added To the S&P500, By Level Of Imperfect ArbitrageRisk.This figure, which we discussed in the lecture, plots the mean cumulative abnormal returns oftwo groups of stocks added to the S&P 500. The first group includes stocks with high arbitragerisk, while the other group includes stocks with low arbitrage risk. The horizontal axis is thetrading day relative to the addition announcements.1. (2 points) What is the main finding of this Figure?2. (3 points) What is the explanation for the finding?

Part 2: ExplanationMain Finding Explanation:The graph shows two lines: one for stocks with high…

Answered: QUESTION II: THE S&P 500 INCLUDSION…

Survey of Accounting (Accounting I)

8th Edition

ISBN:9781305961883

Author:Carl Warren

Publisher:Carl Warren

Chapter9: Metric-analysis Of Financial Statements

Section: Chapter Questions

Problem 3SEQ

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