Please find the data from excel below and copy paste it in excel for calculations.

You need to upload a spreadsheet with your calculations to Moodle. Please set out your calculations clearly

Marks will be awarded for both calculations and the detail of your discussion.

Please use graphs and/or tables to support your discussion.

Question 4 (30 marks)

Use the daily returns data in the Q4 tab of the FIN 223 Final Assessment.xlsx spreadsheet to conduct an event study on Afterpay (APT). You can assume the risk-free rate is zero. Estimate the abnormal returns using the CAPM for an event window from 13 March to 26 March based on an estimation window from 2 January 2019 to 12 March 2020. APT did not disclose any price sensitive announcements to the Australian Securities Exchange (ASX) during the event window.

a) Calculate the abnormal returns for APT over the event window. Discuss the magnitude of the abnormal returns. What rational explanation could exist for the abnormal returns?

b) Discuss one behavioural bias that could explain the pattern you observe.

c) Discuss why rational investors may not have arbitraged this apparent profit opportunity

Date S&P/ASX 300 APT

2/01/2019 -1.57% -3.23%

3/01/2019 1.36% -0.17%

4/01/2019 -0.25% 0.84%

7/01/2019 1.14% 7.12%

8/01/2019 0.69% 1.85%

9/01/2019 0.98% 3.19%

10/01/2019 0.29% 0.74%

11/01/2019 -0.36% -1.24%

14/01/2019 -0.02% -3.55%

15/01/2019 0.71% 3.98%

16/01/2019 0.35% 2.58%

17/01/2019 0.26% 2.37%

18/01/2019 0.50% 12.98%

21/01/2019 0.18% -5.28%

22/01/2019 -0.54% 0.00%

23/01/2019 -0.26% -0.07%

24/01/2019 0.38% 2.36%

25/01/2019 0.68% 4.10%

29/01/2019 -0.53% -3.26%

30/01/2019 0.21% 0.06%

31/01/2019 -0.37% 1.21%

1/02/2019 -0.03% 1.89%

4/02/2019 0.48% 0.86%

5/02/2019 1.95% 3.12%

6/02/2019 0.34% 4.80%

7/02/2019 1.10% -0.51%

8/02/2019 -0.34% -2.73%

11/02/2019 -0.17% 0.23%

12/02/2019 0.32% 3.85%

13/02/2019 0.00% -1.18%

14/02/2019 -0.07% 4.38%

15/02/2019 0.11% 1.14%

18/02/2019 0.40% 1.62%

19/02/2019 0.29% 0.26%

20/02/2019 -0.12% -7.82%

21/02/2019 0.71% -2.47%

22/02/2019 0.54% 1.12%

25/02/2019 0.33% 19.19%

26/02/2019 -0.80% -11.46%

27/02/2019 0.43% -2.81%

28/02/2019 0.37% 4.54%

1/03/2019 0.43% 6.13%

4/03/2019 0.44% 2.15%

5/03/2019 -0.26% -0.45%

6/03/2019 0.77% -1.81%

7/03/2019 0.57% -2.46%

8/03/2019 -0.95% 2.99%

11/03/2019 -0.38% 2.95%

12/03/2019 -0.08% 2.67%

13/03/2019 -0.18% -2.84%

14/03/2019 0.30% 3.17%

15/03/2019 -0.07% -1.20%

18/03/2019 0.25% 0.24%

19/03/2019 -0.09% 0.15%

20/03/2019 -0.31% 0.63%

21/03/2019 0.03% -1.25%

22/03/2019 0.46% 0.73%

25/03/2019 -1.10% -5.33%

26/03/2019 0.07% 0.26%

27/03/2019 0.10% 1.89%

28/03/2019 0.66% 2.25%

29/03/2019 0.08% 2.60%

1/04/2019 0.59% 6.87%

2/04/2019 0.41% 4.51%

3/04/2019 0.69% -0.39%

4/04/2019 -0.83% 0.82%

5/04/2019 -0.83% 3.83%

8/04/2019 0.65% -0.70%

9/04/2019 0.01% 1.77%

10/04/2019 0.03% 1.50%

11/04/2019 -0.40% 2.08%

12/04/2019 0.85% -0.98%

15/04/2019 0.00% -1.23%

16/04/2019 0.42% -0.76%

17/04/2019 -0.33% -5.89%

18/04/2019 0.06% -2.27%

23/04/2019 0.95% 0.53%

24/04/2019 0.99% 3.58%

26/04/2019 0.07% 0.29%

29/04/2019 -0.41% 4.62%

30/04/2019 -0.54% 2.69%

1/05/2019 0.81% 6.68%

2/05/2019 -0.59% -1.61%

3/05/2019 -0.04% 2.94%

6/05/2019 -0.82% -0.54%

7/05/2019 0.19% 3.49%

8/05/2019 -0.42% -6.68%

9/05/2019 0.42% -0.49%

10/05/2019 0.25% -0.83%

13/05/2019 0.00% -0.15%

14/05/2019 -0.78% -0.65%

15/05/2019 0.71% 0.54%

16/05/2019 0.89% -2.60%

17/05/2019 0.59% 0.55%

20/05/2019 1.74% 1.44%

21/05/2019 0.38% -4.89%

22/05/2019 0.16% -1.30%

23/05/2019 -0.29% 2.87%

24/05/2019 -0.55% -4.39%

27/05/2019 -0.06% -0.21%

28/05/2019 0.51% 4.18%

29/05/2019 -0.68% 0.48%

30/05/2019 -0.73% -4.03%

31/05/2019 0.07% 0.46%

3/06/2019 -1.19% -4.02%

4/06/2019 0.19% -3.71%

5/06/2019 0.42% 7.08%

6/06/2019 0.38% -1.88%

7/06/2019 0.95% 3.07%

11/06/2019 1.59% 0.00%

12/06/2019 -0.04% 6.08%

13/06/2019 -0.01% -12.05%

14/06/2019 0.18% -4.26%

17/06/2019 -0.35% -6.11%

18/06/2019 0.60% 4.93%

19/06/2019 1.19% 3.71%

20/06/2019 0.59% 6.48%

21/06/2019 -0.54% 1.53%

24/06/2019 0.22% 3.90%

25/06/2019 -0.11% 3.79%

26/06/2019 -0.26% 5.52%

27/06/2019 0.59% 2.54%

28/06/2019 -0.71% -9.92%

1/07/2019 0.44% -2.67%

2/07/2019 0.08% 6.93%

3/07/2019 0.49% 1.15%

4/07/2019 0.49% 2.31%

5/07/2019 0.50% -0.59%

8/07/2019 -1.17% 0.60%

9/07/2019 -0.09% -4.85%

10/07/2019 0.36% -0.39%

11/07/2019 0.39% -0.39%

12/07/2019 -0.29% -3.96%

15/07/2019 -0.65% -2.82%

16/07/2019 -0.18% -0.84%

17/07/2019 0.49% 0.93%

18/07/2019 -0.36% -1.22%

19/07/2019 0.77% 2.13%

22/07/2019 -0.14% -1.46%

23/07/2019 0.50% 4.27%

24/07/2019 0.77% 2.55%

25/07/2019 0.61% 2.45%

26/07/2019 -0.36% 0.81%

29/07/2019 0.48% 3.98%

30/07/2019 0.28% -2.10%

31/07/2019 -0.48% 0.49%

1/08/2019 -0.35% -0.75%

2/08/2019 -0.30% -3.96%

5/08/2019 -1.90% -7.81%

6/08/2019 -2.44% -4.94%

7/08/2019 0.64% 0.63%

8/08/2019 0.79% 1.33%

9/08/2019 0.25% 6.10%

12/08/2019 0.09% -1.86%

13/08/2019 -0.33% -0.72%

14/08/2019 0.72% 4.67%

15/08/2019 -2.85% -7.26%

16/08/2019 -0.03% 1.75%

19/08/2019 0.99% 4.34%

20/08/2019 1.21% 3.09%

21/08/2019 -0.90% -3.84%

22/08/2019 0.32% 2.62%

23/08/2019 0.34% -0.61%

26/08/2019 -1.22% -2.20%

27/08/2019 0.51% 7.79%

28/08/2019 0.54% 9.32%

29/08/2019 0.11% 4.74%

30/08/2019 1.56% 4.59%

2/09/2019 -0.31% 1.29%

3/09/2019 -0.03% 1.75%

4/09/2019 -0.28% -0.38%

5/09/2019 1.14% 2.36%

6/09/2019 0.52% 4.05%

9/09/2019 0.02% -0.03%

10/09/2019 -0.44% -4.13%

11/09/2019 0.39% -1.14%

12/09/2019 0.28% -0.93%

13/09/2019 0.22% 0.44%

16/09/2019 0.07% 0.19%

17/09/2019 0.33% -1.31%

18/09/2019 -0.20% 2.22%

19/09/2019 0.55% 1.58%

20/09/2019 0.20% 0.79%

23/09/2019 0.28% -2.48%

24/09/2019 -0.01% -1.43%

25/09/2019 -0.57% 13.31%

26/09/2019 -0.48% -1.33%

27/09/2019 0.58% 2.96%

30/09/2019 -0.41% -1.91%

1/10/2019 0.81% -1.62%

2/10/2019 -1.53% 0.20%

3/10/2019 -2.21% -3.03%

4/10/2019 0.37% -0.41%

7/10/2019 0.71% 2.25%

8/10/2019 0.46% -0.77%

9/10/2019 -0.71% 0.66%

10/10/2019 0.01% 0.54%

11/10/2019 0.91% 0.14%

14/10/2019 0.54% 2.79%

15/10/2019 0.14% 1.27%

16/10/2019 1.27% -7.22%

17/10/2019 -0.77% -5.72%

18/10/2019 -0.52% -7.29%

21/10/2019 0.04% -3.34%

22/10/2019 0.30% 1.92%

23/10/2019 0.01% 1.95%

24/10/2019 0.31% -2.59%

25/10/2019 0.68% 1.00%

28/10/2019 0.02% -2.22%

29/10/2019 0.07% 1.57%

30/10/2019 -0.83% -2.96%

31/10/2019 -0.39% 2.20%

1/11/2019 0.09% -4.89%

4/11/2019 0.27% -0.26%

5/11/2019 0.15% -0.91%

6/11/2019 -0.54% -4.39%

7/11/2019 1.00% 1.16%

8/11/2019 -0.03% 2.78%

11/11/2019 0.89% 4.56%

12/11/2019 -0.13% 3.51%

13/11/2019 -0.81% 0.62%

14/11/2019 0.68% 7.49%

15/11/2019 0.88% 4.24%

18/11/2019 -0.39% -2.01%

19/11/2019 0.70% -2.82%

20/11/2019 -1.35% 0.51%

21/11/2019 -0.74% -3.49%

22/11/2019 0.55% 0.30%

25/11/2019 0.32% 7.05%

26/11/2019 0.83% -1.38%

27/11/2019 0.94% -0.34%

28/11/2019 0.21% 1.28%

29/11/2019 -0.26% -2.74%

2/12/2019 0.24% -1.36%

3/12/2019 -2.19% -2.25%

4/12/2019 -1.58% -4.56%

5/12/2019 1.16% 2.30%

6/12/2019 0.36% 0.50%

9/12/2019 0.34% -0.07%

10/12/2019 -0.34% 0.00%

11/12/2019 0.68% -1.37%

12/12/2019 -0.65% -2.04%

13/12/2019 0.46% -0.59%

16/12/2019 1.63% 1.95%

17/12/2019 -0.03% -1.61%

18/12/2019 0.06% 1.08%

19/12/2019 -0.27% -1.10%

20/12/2019 -0.25% 1.70%

23/12/2019 -0.46% 0.72%

24/12/2019 0.13% -0.95%

27/12/2019 0.40% 4.73%

30/12/2019 -0.05% -1.54%

31/12/2019 -1.77% -2.76%

2/01/2020 0.10% 4.61%

3/01/2020 0.64% -1.18%

6/01/2020 0.03% -0.92%

7/01/2020 1.35% 1.40%

8/01/2020 -0.13% -1.09%

9/01/2020 0.83% 1.63%

10/01/2020 0.80% 1.83%

13/01/2020 -0.37% 4.50%

14/01/2020 0.85% 2.06%

15/01/2020 0.47% -1.21%

16/01/2020 0.67% 1.34%

17/01/2020 0.32% -0.06%

20/01/2020 0.22% 2.35%

21/01/2020 -0.19% 0.97%

22/01/2020 0.94% 1.43%

23/01/2020 -0.63% 3.73%

24/01/2020 0.04% 2.44%

28/01/2020 -1.36% -0.81%

29/01/2020 0.53% 3.52%

30/01/2020 -0.33% -0.50%

31/01/2020 0.13% 1.98%

3/02/2020 -1.34% -1.27%

4/02/2020 0.37% 4.78%

5/02/2020 0.39% -1.71%

6/02/2020 1.05% -0.54%

7/02/2020 -0.38% 1.15%

10/02/2020 -0.14% -2.33%

11/02/2020 0.61% 2.26%

12/02/2020 0.47% -1.98%

13/02/2020 0.24% -0.13%

14/02/2020 0.38% 0.13%

17/02/2020 -0.07% 2.36%

18/02/2020 -0.13% 0.89%

19/02/2020 0.64% 1.58%

20/02/2020 0.26% -3.06%

21/02/2020 -0.33% -0.69%

24/02/2020 -2.13% -5.18%

25/02/2020 -1.57% 0.16%

26/02/2020 -2.23% -2.86%

27/02/2020 -0.71% 1.39%

28/02/2020 -3.24% -9.05%

2/03/2020 -0.66% -1.60%

3/03/2020 0.73% 6.19%

4/03/2020 -1.66% -4.24%

5/03/2020 1.43% 3.55%

6/03/2020 -2.79% -4.16%

9/03/2020 -7.32% -16.12%

10/03/2020 3.12% 7.06%

11/03/2020 -3.54% -8.62%

12/03/2020 -7.35% -11.65%

13/03/2020 4.43% -2.68%

16/03/2020 -9.70% -14.29%

17/03/2020 5.83% -4.32%

18/03/2020 -6.42% -33.05%

19/03/2020 -3.43% -22.41%

20/03/2020 0.70% 25.66%

23/03/2020 -5.62% -28.46%

24/03/2020 4.19% 25.96%

25/03/2020 5.55% 33.81%

26/03/2020 2.31% 29.40%