If Due to policy you can answer only 1. So please answer B

QUESTION 3 a. (8%) You have estimated the CAPM betas and the sum betas in Homework 2 for PNC Financial Services Group (PNC) and SmallCap SPDRS (SLY) based on daily data. What can you say about evidence of delayed market reaction for either security? Does it exist? How to test it empirically? b. (7%) After a long day working at CoolDrop Inc., Craig rushed the Part 1 of Homework 2 before heading to Fin 512. He mistakenly showed the daily estimated CAPM betas using the preceding 120 daily returns for Sotheby's (BID) and Mid Cap SPDR (MDY) starting July 1, 2008 until December 31, 2019. The worst part is that he also forgot the chart legend. Can you help him in labeling Curve A and Curve B? Which one is for Sotheby's (BID)? (You are NOT suggested to estimate betas for BID and MDY during the exam. Answer this based on the work you have done for HW2P1Q2 and briefly explain your judgment.) Beta Curve A 2.5 N 1.5 Curve B hopedia 0.5 Calendar Time 0 QUESTION 3 a. (8%) You have estimated the CAPM betas and the sum betas in Homework 2 for PNC Financial Services Group (PNC) and SmallCap SPDRS (SLY) based on daily data. What can you say about evidence of delayed market reaction for either security? Does it exist? How to test it empirically? b. (7%) After a long day working at CoolDrop Inc., Craig rushed the Part 1 of Homework 2 before heading to Fin 512. He mistakenly showed the daily estimated CAPM betas using the preceding 120 daily returns for Sotheby's (BID) and Mid Cap SPDR (MDY) starting July 1, 2008 until December 31, 2019. The worst part is that he also forgot the chart legend. Can you help him in labeling Curve A and Curve B? Which one is for Sotheby's (BID)? (You are NOT suggested to estimate betas for BID and MDY during the exam. Answer this based on the work you have done for HW2P1Q2 and briefly explain your judgment.) Beta Curve A 2.5 N 1.5 Curve B hopedia 0.5 Calendar Time 0