QUESTION II: THE S&P 500 INCLUDSION ANOMALY. Mean cumulative abnormal return 5.50% 5.00% 4.50% 4.00% 3.50%...
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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 LL -2-1 0 1 2 3 4 5 6 7 8 9 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 poin 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 LL -2-1 0 1 2 3 4 5 6 7 8 9 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 poin What is the main finding of this Figure? 2. (3 points) What is the explanation for the finding?
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