FINAL SUBMISSION

• Fully integrated report (not just concatenation of Proposal and Data submission)
• Analysis will be based on:

• Raw returns
• Market-adjusted returns
• Risk-adjusted (abnormal) returns
• Draw conclusions and statistical significance

• Analyze t-statistics for event dates and windows below. In addition, the t-statistics are computed for raw returns, market-adjusted returns, and risk-adjusted returns. There is a total of 15 t-statistics to compute.

1. t = -1
2. t = 0
3. t= +1
4. t= (-1, 1)
5. t= (0, 5)

• Conduct cross-sectional analysis on abnormal returns only (Dependent variable) and several firm-specific (independent) variables relevant to your topic. Hypothesize why you chose these independent variables and justify with citation from academic literature (if possible).

AR (on day 0) = b₀ + b₁X₁ + b₂X₂₊ b₃X₃

Full output and interpretation required: t-statistics, p-value, R², adjusted R², F-statistic.

• Deliverable is Word file (not pdf) of report following basic academic format: abstract, introduction, data/sample, methodology, empirical tests and results, conclusions and limitations.

• Excel work submitted as separate file on BB

Updated February 2022