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  • Assignment 1 ACF

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    Waleed Zakaria
    15 views2 pages
    The document contains statistical analysis results including intercept, slope, R-square, standard error, and F-test from a linear regression as well as daily stock price data for firms PSO and PSX. It also includes the corresponding market returns and event study results such as excess returns, abnormal returns, t-statistics, and cumulative abnormal returns for the event window around an announcement date.

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    Event

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    The document contains statistical analysis results including intercept, slope, R-square, standard error, and F-test from a linear regression as well as daily stock price data for firms PSO and PSX. It also includes the corresponding market returns and event study results such as excess returns, abnormal returns, t-statistics, and cumulative abnormal returns for the event window around an announcement date.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    15 views2 pages

    Assignment 1 ACF

    Uploaded by

    Waleed Zakaria
    The document contains statistical analysis results including intercept, slope, R-square, standard error, and F-test from a linear regression as well as daily stock price data for firms PSO and PSX. It also includes the corresponding market returns and event study results such as excess returns, abnormal returns, t-statistics, and cumulative abnormal returns for the event window around an announcement date.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 2

    Intercept -1.

    4796066335
    Slope 2.48299332632
    R-square 0.91649226501
    Standard Error 0.0062926241
    Mean 1.00561501432
    F-test 0.00241950257
    Y
    PSO PSX
    Date Close Firm-Returns Date Close
    10-Mar-22 164.3 10-Mar-22 43,853.62
    11-Mar-22 162.35 0.9941824862 11-Mar-22 43,653.33
    14-Mar-22 160.25 0.9931825225 14-Mar-22 43,366.89
    15-Mar-22 163.15 1.0244897959 15-Mar-22 43,719.82
    16-Mar-22 165 1.0175763182 16-Mar-22 43,975.69
    17-Mar-22 163.5 0.9969512195 17-Mar-22 43,807.23
    Estimation 18-Mar-22 156.2 0.9612307692 18-Mar-22 43,029.97
    period 21-Mar-22 157.6 1.0154639175 21-Mar-22 43,230.22
    22-Mar-22 156.7 1.0006385696 22-Mar-22 43,203.79
    24-Mar-22 157.59 1.0121387283 24-Mar-22 43,522.55
    25-Mar-22 156.65 1.0003831662 25-Mar-22 43,551.14
    28-Mar-22 159.4 1.0240925153 28-Mar-22 43,933.56
    29-Mar-22 165.5 1.0448232323 29-Mar-22 44,438.70
    30-Mar-22 162.5 0.9878419453 30-Mar-22 44,337.56
    31-Mar-22 166.67 1.0320123839 31-Mar-22 44,928.83
    1-Apr-22 166.45 1.0047081548 1-Apr-22 45,152.11
    4-Apr-22 156.51 0.9459655485 4-Apr-22 43,902.04
    5-Apr-22 157.5 1.0127966047 5-Apr-22 43,928.08
    6-Apr-22 157.65 1.0073482428 6-Apr-22 44,111.10
    7-Apr-22 158 1.0086179381 7-Apr-22 43,786.83
    8-Apr-22 161.87 1.0310191083 8-Apr-22 44,444.58
    Event Window 11-Apr-22 171 1.0629701001 11-Apr-22 46,144.96
    12-Apr-22 168.99 0.9940588235 12-Apr-22 46,407.26
    13-Apr-22 169.05 1.0063098994 13-Apr-22 46,165.50
    14-Apr-22 169.35 1.0077357929 14-Apr-22 46,484.43
    15-Apr-22 171.25 1.0172260172 15-Apr-22 46,601.54
    18-Apr-22 171.39 1.0066960352 18-Apr-22 46,539.59
    19-Apr-22 169.5 0.9947766888 19-Apr-22 46,333.36
    20-Apr-22 167.8 0.9958456973 20-Apr-22 45,943.16
    X
    PSX
    Market-Returns ER AR T - Stat Significant CAR

    0.9954554596738
    0.9934610592378
    1.0081614835992
    1.0058755016718
    0.9961919003863
    0.9822796894414
    1.0046770815104
    0.9994117404848
    1.0074013738465
    1.0006798930645
    1.0088041048777
    1.0115208401241
    0.9977465080326
    1.0133585014264 1.036556 -0.004543 -0.722017 No -0.004543
    1.0049920060684 1.015782 -0.011074 -1.759783 No -0.015617
    0.9723357853218 0.934697 0.011269 1.790813 No -0.004348
    1.0006159307388 1.004916 0.007881 1.252349 No 0.003532
    1.0041892153997 1.013788 -0.00644 -1.023459 No -0.002908 CAR (-5,+5)
    0.9926712929692 0.98519 0.023428 3.723149 Yes 0.020521 CAR (-4,+4)
    1.0150448215781 1.040743 -0.009724 -1.545266 No 0.010797 CAR (-3,+3)
    1.0382817945809 1.09844 -0.03547 -5.636763 Yes -0.024673 CAR (-1,+1)
    1.0057060555704 1.017555 -0.023496 -3.73389 Yes -0.048169
    0.9948119068419 0.990505 0.015805 2.511704 Yes -0.032364
    1.0069302169416 1.020594 -0.012859 -2.043437 Yes -0.045223
    1.0025409054366 1.009696 0.00753 1.196683 No -0.037692
    0.998692075242 1.000139 0.006557 1.041999 No -0.031135
    0.9955901113463 0.992437 0.00234 0.371819 No -0.028796
    0.9915998235359 0.982529 0.013317 2.116222 Yes -0.015479

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