Abnormal returns ($12.3): The second column in Table 12.2 shows the monthly return on the British FTSE 100 index from January 2015 through July 2017. The remaining columns show returns on the stocks of two firms, Executive Cheese and Paddington Beer. Both firms announced their earnings in July 2017. Run a regression using returns from January 2015 to June 2017 to find the alpha and beta for each stock. Send Excel regression result. Month Market Return (%) Executive Cheese Return(%) Paddington Beer Return (%) Jan-15 2.8 3.6 1.6 Feb-15 2.9 7 1.5 Mar-15 -2.5 -2.2 -0.7 Apr-15 2.8 3.1 3 May-15 0.3 0.2 0.1 Jun-15 -3.9 -6.5 1.1 Jul-15 -0.2 0.1 0.6 Aug-15 -6.7 -9.8 -4.6 Sep-15 -3 -7.2 -5.3 Oct-15 4.9 5.8 6.1 Nov-15 -0.1 0.2 0.1 Dec-15 -1.8 -1 -1.2 Jan-16 -2.5 -3.1 0.6 Feb-16 0.2 0.3 1.7 Mar-16 1.3 1.7 2.1 Apr-16 1.1 1.1 3 May-16 -0.2 0.1 1.6 Jun-16 4.4 7.4 2.8 Jul-16 3.4 4 0.9 Aug-16 0.8 1.2 1 Sep-16 1.7 5.1 1.3 Oct-16 0.8 3.7 -1.6 Nov-16 -2.4 -2.7 -1.2 Dec-16 5.3 10.7 1.8 Jan-17 -0.6 -0.4 -0.7 Feb-17 2.3 2.8 2.4 Mar-17 0.8 0.7 0.8 Apr-17 -1.6 -1 -1.2 May-17 4.4 6.2 -3.7 Jun-17 -2.8 -3.2 -1.3 Jul-17 2.7 3 2.9
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Create columns for the month, market return, Executive Cheese return, and Paddington Beer return. Input the data for each month from January 2015 to June 2017. Ensure that the data is correctly entered as per the given values. Show more…
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