Question: Column (a) in Table 13.1 shows the monthly return on the British FTSE 100 index from August 1999 through July 2001. Columns (b) and (c)

Column (a) in Table 13.1 shows the monthly return on the British FTSE 100 index from

August 1999 through July 2001. Columns (b) and (c) show the returns on the stocks of two firms. Both announced dividend increases during this period'Executive Cheese in September 2000 and Paddington Beer in January 2000. Calculate the average abnormal return of the two stocks during the month of the dividend announcement.

(C) Paddington Beor Return (B) Executive Cheese Roturn (A) Market Roturn Month 1999: Aug. Sept. Oct. .2 -1.9 -3.5 - 10.1 -6.1 3.7 8.1 9.8 Nov. 5.5 7.5 16.5 5.0 Dec. 6.7 4.3 2000: -5.3 - 11.1 Jan. -9.5 Feb. -.6 5.7 -7.3 Mar. p. May June 4.9 -9.7 4.5 -3.3 -4.7 - 14.8 - 10.0 -1.1 -2.7 -1.2 July Aug. Sept. Oct. .1 -2.6 4.8 3.4 12.4 -5.7 5.6 -7.9 11.5 2.3 -2.2 - 14.4 -6.5 Nov. -4.6 Dec. 1.3 3.4 -2 2001: Jan. 1.2 -3.7 4.1 Feb. -14.1 -6.0 -9.0 Mar. -4.8 7.3 -6.5 Apr. May June 5.9 4.7 12.6 -2.9 -7.1 -2.7 - 14.5 -11.4 0.5 July -2.0 -0.5

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