QUESTION II: THE S&P 500 INCLUDSION ANOMALY. Mean cumulative abnormal return 5.50% 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 20 Trading day relative to addition announcement Fig. 2.4 Mean Cumulative Abnormal Returns For Stocks Added To the S&P 500, By Level Of Imperfect Arbitrage Risk. This figure, which we discussed in the lecture, plots the mean cumulative abnormal returns of two groups of stocks added to the S&P 500. The first group includes stocks with high arbitrage risk, while the other group includes stocks with low arbitrage risk. The horizontal axis is the trading 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?
QUESTION II: THE S&P 500 INCLUDSION ANOMALY. Mean cumulative abnormal return 5.50% 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 20 Trading day relative to addition announcement Fig. 2.4 Mean Cumulative Abnormal Returns For Stocks Added To the S&P 500, By Level Of Imperfect Arbitrage Risk. This figure, which we discussed in the lecture, plots the mean cumulative abnormal returns of two groups of stocks added to the S&P 500. The first group includes stocks with high arbitrage risk, while the other group includes stocks with low arbitrage risk. The horizontal axis is the trading 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?
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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