Abnormal returns The second column in Table 13.1 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 firmsExecutive Cheese and Paddington Beer. Both firms announced their earnings in July 2017. Calculate the average abnormal return of the two stocks during the month of the earnings announcement. The earnings of one of these stocks slightly disappointed investors and the earnings of the other were slightly better than expected. Which was which?

Return Cheese Return Beer Return Month January 2015 February March April May June July August September October November December January 2016 February March April May June 1.6 1.5 -0.7 3.0 0.1 1.1 0.6 -4.6 -5.3 6.1 0.1 -1.2 0.6 2.8 2.9 -2.5 2.8 0.3 -3.9 -0.2 -6.7 -3.0 4.9 -0.1 -1.8 -2.5 0.2 1.3 1.1 -0.2 4.4 3.4 0.8 1.7 0.8 -2.4 5.3 -0.6 2.3 0.8 -1.6 4.4 -2.8 2.7 3.6 7.0 -2.2 3.1 0.2 -6.5 0.1 -9.8 -7.2 5.8 0.2 -1.0 -3.1 0.3 1.7 1.1 0.1 7.4 4.0 1.2 5.1 3.7 -2.7 10.7 -0.4 2.8 0.7 -1.0 6.2 -3.2 3.0 July August September October November December January 2017 February March April May June July 1.7 2.1 3.0 1.6 2.8 0.9 1.0 1.3 -1.6 -1.2 1.8 -0.7 2.4 0.8 -1.2 -3.7 -1.3 2.9