Marges and Aquisition Report
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1.
Demonstrate knowledge of the purpose and functions of global financial
markets
2.
Analyse the role of financial market data in supporting business decisions
3.
Critically evaluate the impact of the global financial markets on the business
environment
4.
Demonstrate the ability to analyse and present quantitative data to support an
argument.
5.
Use information technology to analyse and communicate financial data
This assignment is the form of an individual coursework report based on a case study
of Merger and Acquisition (M&A) event. The case study will be provided in week 1.
The purpose is to use relevant Excel templates to conduct event studies to test
market efficiency. Based on the result of event studies, trading strategies and
instruments are applied to exploit price efficiency/inefficiency during the process of
acquisition to arrive at appropriate conclusion and recommendation for the deal.
Conduct event analysis to test EMH and derive your trading profit from the event.
An event analysis template is provided separately based on Chapter 14 contents of
Simon Benninga textbook Financial Modelling (4th edition). (40%)
You are required to demonstrate trading strategies and instruments that would be
appropriate to exploit price efficiency/inefficiency during the process of acquisition.
Your analysis should forecast possible trading profit going forward until the
appropriate cut-off date. (40%)
Conclusion and Recommendation. Conclude your analysis based on the above
analysis and recommend appropriate course of action for trading on this M&A event
(10%)
Research and Originality (10%)
Introduction
Event study
Estimate window
Event window
Results of the event analysis
Trading strategies
( You can also discuss about instruments )
Technical analysis
Recommendations
Appendix
References
Part 1 :
You have to assess the data by explaining event window
You can do it by doing statistical analysis
Part 2:
You need to find out what were the strategic strategies of the company to
accrue other company
You can also add option pricing instruments to hedge the effect of the
pricing by doing forward forecasting analysis
Part 3:
You need to give recommendations and conclusions
Either the merger was successful or not
M010LON GLOBAL FINANCIAL MARKET JANAPR 1920
COURSEWORK BRIEF AND CASE STUDY
1. Background
Please read the S&P Capital IQ Transaction Summary for AbbVie Inc.s (NYSE:ABBV)
acquisition of Allergan plc (NYSE:AGN).
Perform the following tasks of analysis and write up your finding and research in a report
format, both Group Coursework 1, and Individual Coursework 2. You are encouraged to
conduct research on the effects of the news on share price and outline your analysis of the event.
This is an ongoing case of M&A. The study should emphasize the state of the play, valuation
and trading strategy going forward. Students are encouraged to take a forward-looking view on
the future of the acquisition event.
2. Objectives
The assessment is made up of two parts with the weight and word count shown below.
Coursework 1: (40%), Word Count: 1,500 Words
Coursework 2: (60%), Word Count: 2,000 Words
Students are required to complete both parts
Coursework 1: Group Report (40%)
This assignment is a Group coursework report based on a case study of Merger and Acquisition
(M&A) event based on the above case study of AbbVie Inc.s (NYSE:ABBV) acquisition of
Allergan plc (NYSE:AGN). The purpose of the report is to develop relevant Excel templates
to provide valuation and interpret price impacts following the event.
Conduct in-depth background research to enhance the analysis of the acquisition event. Such
research should demonstrate in-depth understanding on the working of the sector. You should
set up a timeline (see Section 3 below) to reflect the chronicle of events and key dates. (20%)
Conduct comprehensive valuation on AbbVie Inc.s (NYSE:ABBV) and Allergan plc
(NYSE:AGN) prior to the acquisition announcement. Your valuation should use relevant
valuation technique(s) to arrive at an appropriately discounted present value (per share) for
AbbVie Inc.s (NYSE:ABBV) and Allergan plc (NYSE:AGN) (40%)
Evaluate the extent of price impacts on AbbVie Inc.s (NYSE:ABBV) and Allergan plc
(NYSE:AGN) following the news announcements on acquisition. Does the movement of share
price reflect the insights from Efficient Market Hypothesis (EMH)? (40%)
Page 1 of 3
Coursework 2: Individual Report (60%)
This assignment is in the form of an individual coursework report based on the same case study
albeit with a different focus on event analysis and trade. The purpose is to develop relevant
Excel templates to conduct event studies to test market efficiency. Based on the result of event
studies, trading strategies and instruments are to be applied to exploit price
efficiency/inefficiency during the process of acquisition to arrive at appropriate conclusion and
recommendation for the deal.
Conduct event analysis to test EMH and derive your trading profit from the event. An event
analysis template is provided separately based on Chapter 14 contents of Simon Benninga
textbook Financial Modeling (4th edition). (40%)
You are required to demonstrate trading strategies and instruments that would be
appropriate to exploit price efficiency/inefficiency during the process of acquisition. Your
analysis should forecast possible trading profit going forward until the appropriate cut-off
date. (40%)
Conclusion and Recommendation. Conclude your analysis based on the above analysis and
recommend appropriate course of action for trading on this M&A event (10%)
Research and originality (10%)
Research and originality award research and original thinking that go beyond standard
analysis and template to derive new insights. This is awarded based on your contribution to
research and originality.
3. Timeline
The announcement of the above event was on 25 June 2019; your estimation window*
should run at least one year before the event announcement date.
*See Chapter 14 Simon Benningas textbook for the definition of estimation window.
4. Format and Weighting
The assessment is made up of two parts with the weight and word count shown below.
Coursework 1: Group Report (40%), Word Count: 1,500 Words
Coursework 2: Individual Report (60%), Word Count: 2,000 Words
Need to provide data and valuation result in Excel model as evidences
Your Excel model needs to be embedded within your submitted Word document.
Organize your findings in both Report format according to the weight presented in Section 2.
References and appendixes will not be included in the final word count.
Coursework Submission Deadline: See Moodle Submission Link
Page 2 of 3
5. Key Learning Outcomes
Demonstrate knowledge of the purpose and functions of global financial markets
Analyse the role of financial market data in supporting business decisions
Critically evaluate the impact of the global financial markets on the business
environment
Demonstrate the ability to analyse and present quantitative data to support an argument.
Use information technology to analyse and communicate financial data
6. Late submission
Late submission will be marked at 0 but will allow a resit opportunity. No submission will be
recorded as Absent. Extensions will be in accordance with University policy.
7. Grades
You must check that all your coursework marks have been recorded accurately on Moodle
and notify your module leader if you believe a mistake has been made. All grades are
provisional until confirmed by the Subject Assessment Board. It is possible that notified
marks may be raised or lowered by this board. Students are encouraged to keep copies
(electronic) of all coursework submitted on this module.
8. Plagiarism
Students are advised to consult the University Regulations* and their course handbooks
regarding the penalties for and definition of plagiarism, which essentially is the deliberate and
substantial insertion in your own work of material from someone else e.g. a published source
such as a book or article, or simply another students piece of work, without acknowledging
the extent or source of the quotation.
*To view regulations use the University website.
Referral Resubmission of assignment, by the Faculty re-sit deadline (posted on the module
web when date confirmed).
Further information can be found on your module and course handbook.
Page 3 of 3
THE EVENT STUDY TIME LINE
T0
T1
T1 + 1
0
Start date for
estimation
window
End date for
estimation
window
Start date for
event window
Event
date
ESTIMATION WINDOW
The estimation window is used to
determine the normal behavior of the
stock wrt market factors. Most often we
use the regression Rit = a + bRmt to
determine this “normal” behavior.
EVENT WINDOW
We use data from this window, in conjunction
with the a and b of the stock or stocks to
determine whether:
i) The event announcement was anticipated or
leaked.
ii) The “post-announcement effect”: How long it
took for the event information to be absorbed
by the market.
UDY TIME LINE
T2
T2 + 1
T3
End date for
event window
Start date for
post-event
window
End date for
post-event
window
ow, in conjunction
k or stocks to
t was anticipated or
effect”: How long it
on to be absorbed
POST-EVENT WINDOW
Used to investigate longer-term company
performance following the event.
Gillette Company and Procter & Gamble
Closing Stock Price
6/30/04 12/31/05
Stock
Price
1/28/05
Announcement Date
$60
10/3/05
Completion Date
Procter & Gamble
$55
$50
$45
$40
Gillette Company
$35
$30
30/06/04
DRAFT: 4/24/2020
23/08/04
17/10/04
11/12/04
04/02/05
31/03/05
25/05/05
Privileged and Confidential: Attorney Work Product
19/07/05
12/09/05
06/11/05
31/12/05
A
1
2
3
4
5
6
7
8
9
B
C
D
E
F
GILLETTE RETURNS: ESTIMATION WINDOW
AND EVENT WINDOW
Intercept
Slope
R-squared
Steyx
0.0007
0.6364
0.1315
0.0113
Days in estimation
window
Date
252
NYSE
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
Gillette
10
11
12
13
27-Jan-04
28-Jan-04
29-Jan-04
-0.48%
-1.26%
0.00%
-0.42%
-1.27%
-0.94%
14
15
258
30-Jan-04
2-Feb-04
19-Jan-05
-0.06%
0.26%
-0.78%
-1.39%
-0.74%
-0.09%
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
20-Jan-05
21-Jan-05
24-Jan-05
25-Jan-05
26-Jan-05
27-Jan-05
28-Jan-05
31-Jan-05
1-Feb-05
2-Feb-05
3-Feb-05
4-Feb-05
16%
7-Feb-05
8-Feb-05
14%
9-Feb-05
10-Feb-05
11-Feb-05
12%
14-Feb-05
15-Feb-05
10%
16-Feb-05
17-Feb-05
8%
18-Feb-05
22-Feb-05
6%
23-Feb-05
24-Feb-05
4%
25-Feb-05
-0.69%
-0.20%
-0.18%
0.21%
0.68%
0.04%
-0.24%
0.82%
0.80%
0.32%
-0.29%
0.97%
-0.23%
0.09%
Expected return
-0.63%
0.68%
Abnormal return (AR)
0.71%
0.26%
Cumulative 0.32%
abnormal return
(CAR)
0.04%
-0.47%
0.21%
-1.05%
0.45%
0.55%
1.08%
-0.56%
-1.50%
0.57%
1.44%
0.07%
1.89%
12.94%
-1.71%
-0.83%
0.80%
-0.59%
-1.29%
-0.38%
-0.75%
-1.20%
0.37%
1.58%
0.67%
1.68%
-0.41%
0.18%
0.10%
-1.82%
2.05%
0.81%
0.57%
EVENT WINDOW
Cumulative
Expected
Abnormal
abnormal
return
return (AR)
return (CAR)
#NAME?
#NAME?
0.50%
0.09%
-0.09%
0.59%
0.57%
0.27%
-0.44%
1.80%
13.03%
-2.30%
-1.40%
0.52%
-0.44%
1.36%
14.39%
12.09%
10.69%
11.21%
4%
A
28-Feb-05
2%
1-Mar-05
B
C
-0.55%
0.41%
D
E
F
-2.33%
1.19%
0%
1feb05
31jan05
x-axis for chart
26jan05
27jan05
28jan05
31jan05
1feb05
2feb05
28jan05
-4%
27jan05
-2%
26jan05
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
G
NDOW
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
258
#NAME?
259
260
261
262
263
#NAME?
264
#NAME?
265
#NAME?
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
H
G
2feb05
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
H
A
1
2
3
4
5
6
7
8
9
B
C
D
E
GILLETTE RETURNS: THE SIGNIFICANCE
OF THE ABNORMAL RETURNS
Intercept
Slope
R-squared
Steyx
0.0007
0.6364
0.1315
0.0113
Days in estimation
window
Date
252
NYSE
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
Gillette
10
11
12
13
27-Jan-04
28-Jan-04
29-Jan-04
-0.48%
-1.26%
0.00%
-0.42%
-1.27%
-0.94%
14
15
258
30-Jan-04
2-Feb-04
19-Jan-05
-0.06%
0.26%
-0.78%
-1.39%
-0.74%
-0.09%
259
260
20-Jan-05
21-Jan-05
-0.69%
-0.20%
-0.56%
-1.50%
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
24-Jan-05
25-Jan-05
26-Jan-05
27-Jan-05
28-Jan-05
31-Jan-05
1-Feb-05
2-Feb-05
3-Feb-05
4-Feb-05
7-Feb-05
8-Feb-05
9-Feb-05
10-Feb-05
11-Feb-05
14-Feb-05
15-Feb-05
16-Feb-05
17-Feb-05
18-Feb-05
22-Feb-05
23-Feb-05
24-Feb-05
-0.18%
0.21%
0.68%
0.04%
-0.24%
0.82%
0.80%
0.32%
-0.29%
0.97%
-0.23%
0.09%
-0.63%
0.68%
0.71%
0.26%
0.32%
0.04%
-0.47%
0.21%
-1.05%
0.45%
0.55%
0.57%
1.44%
0.07%
1.89%
12.94%
-1.71%
-0.83%
0.80%
-0.59%
-1.29%
-0.38%
-0.75%
-1.20%
0.37%
1.58%
0.67%
1.68%
-0.41%
0.18%
0.10%
-1.82%
2.05%
0.81%
Abnormal
return (AR)
EVENT WINDOW
AR
t-test
#NAME?
-0.44%
1.80%
13.03%
-2.30%
-1.40%
0.52%
-0.39
1.59
11.56
-2.04
-1.24
0.46
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
A
25-Feb-05
28-Feb-05
1-Mar-05
x-axis for chart
26jan05
27jan05
28jan05
31jan05
1feb05
2feb05
B
C
1.08%
-0.55%
0.41%
D
0.57%
-2.33%
1.19%
E
F
FICANCE
NS
G
H
1
2
3
4
5
6
7
8
EVENT WINDOW
9
10
11
12
13
AR
significant?
#NAME?
14
15
258
#NAME?
259
260
#NAME?
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
no
no
yes
yes
no
no
I
A
1
2
3
4
5
6
7
8
9
B
C
D
E
F
PROCTER & GAMBLE RETURNS: ESTIMATION WINDOW
AND EVENT WINDOW
Intercept
Slope
R-squared
Steyx
0.0004
0.5877
0.1872
0.0084
Days in estimation
window
252
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
EVENT WINDOW
Date
NYSE
Procter-Gamble
Abnormal
return (AR)
10
11
12
13
27-Jan-04
28-Jan-04
29-Jan-04
-0.48%
-1.26%
0.00%
-0.65%
-0.56%
2.41%
14
15
258
30-Jan-04
2-Feb-04
19-Jan-05
-0.06%
0.26%
-0.78%
0.08%
0.59%
1.69%
259
260
20-Jan-05
21-Jan-05
-0.69%
-0.20%
0.04%
-1.85%
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
24-Jan-05
25-Jan-05
26-Jan-05
27-Jan-05
28-Jan-05
31-Jan-05
1-Feb-05
2-Feb-05
3-Feb-05
4-Feb-05
7-Feb-05
1%
8-Feb-05
9-Feb-05
0%
10-Feb-05
11-Feb-05
-1%
14-Feb-05
-0.18%
0.21%
0.68%
0.04%
-0.24%
0.82%
0.80%
0.32%
-0.29%
0.97%
27-Jan
-0.23%
0.09%
-0.63%
0.68%
0.71%
0.26%
0.32%
0.04%
-0.47%
0.21%
-1.05%
0.45%
0.55%
1.08% return (AR)
Abnormal
-0.79%
0.94%
-0.52%
-0.22%
-2.12%
-1.70%
-0.68%
1.00%
-0.30%
-1.16%
28-Jan
-0.17%
-1.05%
-0.90%
0.21%
1.03%
1.05%
1.48%
-0.32%
0.04%
0.32%
-2.34%
2.37%
0.64%
0.67%
AR
t-test
AR
significant?
#NAME?
15-Feb-05
-2%
16-Feb-05
17-Feb-05
18-Feb-05
-3%
22-Feb-05
23-Feb-05
-4%
24-Feb-05
25-Feb-05
-5%
26-Jan
#NAME?
-0.96%
-0.28%
-2.02%
-2.23%
-1.19%
0.77%
-1.14
-0.33
-2.39
-2.64
-1.41
0.91
31-Jan
no
no
yes
yes
no
no
01-Feb
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
A
-5%
28-Feb-05
1-Mar-05
-6%
-7%
x-axis for chart
26jan05
27jan05
28jan05
31jan05
1feb05
2feb05
B Abnormal return (AR)
C
-0.55%
-2.03%
Cumulative abnormal return
0.41%
0.79%
D
E
F
G
H
I
J
K
L
M
MATION WINDOW
W
1
2
3
4
5
6
7
8
NT WINDOW 9
10
11
12
13
Cumulative
abnormal
return
14
15
258
#NAME?
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
#NAME?
-0.96%
-1.25%
-3.26%
-5.49%
-6.67%
-5.90%
02-Feb
#NAME?
#NAME?
#NAME?
Column for x-axis on graph
26-Jan
27-Jan
28-Jan
31-Jan
01-Feb
02-Feb
G
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
H
I
J
K
L
M
N
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
O
A
C
D
E
F
G
GILLETTE PURCHASED BY PROCTER & GAMBLE
Measuring the synergies in event window
1
2
3 Gillette
4 P&G
5
6
7
8
9
10
11
12
13
14
15
16
17
B
Date
26-Jan-05
27-Jan-05
28-Jan-05
31-Jan-05
1-Feb-05
2-Feb-05
Shares
outstanding
(thousands)
1,000,000
2,741,000
Share
price,
25jan05
44.53
53.49
Market
value,
25jan05
(billion $)
44.53
146.62
#NAME?
#NAME?
Abnormal returns (AR)
Gillette
-0.44%
1.80%
13.03%
-2.30%
-1.40%
0.52%
P&G
-0.96%
-0.28%
-2.02%
-2.23%
-1.19%
0.77%
Sum
-1.40%
1.52%
11.01%
-4.52%
-2.59%
1.29%
Cumulative abnormal valuations
(billion $)
Gillette
P&G
-0.19
-1.41
0.61
-1.83
6.41
-4.78
5.38
-8.04
4.76
-9.78
4.99
-8.66
H
I
TER & GAMBLE
ent window
1
2
3
4
5
6
7
8
#NAME?
9
ive abnormal valuations
(billion $) 10
11
Sum
12
-1.61
13
-1.22
14
1.63
15
-2.66
16
-5.02
17
-3.66
#NAME?
A
1
2
3
4
5
6
7
8
9
10
B
C
THE MARKET REACTION TO A POSITIVE EARNINGS SURPRISE BY
SAFEWAY, 20 July 2006
Announcement date
Earnings per share
Consensus earnings estimate
Earnings surprise (forecast error)
20-Jul-06
$0.42
$0.36
$0.06
How did the market interpret the earnings surprise?
Safeway
8.39%
S&P 500
-0.85%
Regressing Safeway returns on the S&P returns using
the market model:
11 Safeway = 0.0001 + 0.9289*SP
12 Intercept
0.0001 #NAME?
13 Slope
0.9289
14 Steyx
0.0118
15
The residual return:
16 Expected stock returns versus actual returns
17 Expected return
18 Residual return
19 t-statistic
-0.78%
9.17%
7.75
#NAME?
#NAME?
#NAME?
A
B
C
E
F
G
H
I
EARNINGS ANNOUNCEMENT IN 2006-07 FOR KRO
SAFEWAY (SWY), AND WHOLE FO
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
D
Calendar
Date
Ticker
7-Mar-06
20-Jun-06
12-Sep-06
5-Dec-06
18-Apr-06
26-Jul-06
10-Oct-06
9-Jan-07
27-Apr-06
20-Jul-06
12-Oct-06
27-Feb-07
4-May-06
1-Aug-06
3-Nov-06
22-Feb-07
KR
KR
KR
KR
SVU
SVU
SVU
SVU
SWY
SWY
SWY
SWY
WFMI
WFMI
WFMI
WFMI
Consensu
Actual #NAME?
s
0.36
0.42
0.29
0.28
0.56
0.57
0.53
0.56
0.30
0.36
0.39
0.60
0.35
0.34
0.29
0.40
0.39
0.42
0.29
0.30
0.55
0.53
0.61
0.54
0.32
0.42
0.39
0.61
0.36
0.35
0.29
0.38
0.03
0.00
0.00
0.02
-0.01
-0.04
0.08
-0.02
0.02
0.06
0.00
0.01
0.01
0.01
0.00
-0.02
Starting
Point
44
117
175
234
73
142
195
256
80
138
197
289
85
146
213
286
Intercept
0.0003
0.0004
0.0006
0.0003
-0.0008
-0.0003
-0.0002
0.0003
0.0001
0.0001
0.0003
0.0012
0.0006
-0.0007
-0.0014
-0.0020
Slope
0.6662
0.6063
0.5628
0.4483
0.7049
0.5416
0.6014
0.5238
1.0139
0.9289
0.7533
0.7505
0.8345
1.2329
1.3199
1.5321
20
#NAME?
21
22
#NAME?
23
24
25
26
27
J
K
L
M
N
O
P
MENT IN 2006-07 FOR KROGER (KR), SUPERVALU (SVU),
WAY (SWY),
1 AND WHOLE FOODS (WFMI)
STEXY
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
0.0123
0.0113
0.0108
0.0118
0.0123
0.0122
0.0128
0.0130
0.0130
0.0118
0.0134
0.0131
0.0175
0.0164
0.0195
0.0243
Actual
Return
S&P 500
Return
#NAME?
1.36%
5.05%
-5.67%
5.08%
-0.28%
-7.09%
4.36%
-1.70%
2.88%
8.39%
-1.43%
-3.95%
12.50%
-12.51%
-26.21%
13.13%
-0.19%
0.00%
1.03%
0.40%
1.69%
-0.04%
0.20%
-0.05%
0.33%
-0.85%
0.95%
-3.53%
0.32%
-0.45%
-0.22%
-0.09%
-0.09%
0.04%
0.64%
0.21%
1.11%
-0.05%
0.10%
0.00%
0.34%
-0.78%
0.75%
-2.54%
0.33%
-0.63%
-0.43%
-0.33%
Positive
surprise
20
Non-positive
surprise
21
22
#NAME?
23
24
#NAME?
25
26
#NAME?
27
#NAME?
1.46%
5.01%
-6.31%
4.87%
-1.39%
-7.03%
4.26%
-1.70%
2.54%
9.17%
-2.18%
-1.41%
12.17%
-11.88%
-25.78%
13.46%
t-stat
1.1808
4.4355
-5.8201
4.1297
-1.1313
-5.7632
3.3170
-1.3061
1.9473
7.7519
-1.6265
-1.0814
6.9434
-7.2345
-13.2186
5.5465
2.65%
#NAME?
-3.24%
#NAME?
Q
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
#NAME?
#NAME?
#NAME?
#NAME?
20
#NAME?
21
22
23
24
25
26
27
A
B
C
E
F
G
H
I
EARNINGS ANNOUNCEMENT IN 2006-07 FOR KRO
SAFEWAY (SWY), AND WHOLE FO
1
2
3
18
19
D
Calendar
Date
Ticker
7-Mar-06
22-Feb-07
KR
WFMI
Consensu
Actual #NAME?
s
0.36
0.40
0.39
0.38
0.03
-0.02
Starting
Point
44
286
Intercept
0.0003
-0.0020
Slope
0.6662
1.5321
20
#NAME?
21
22
#NAME?
23
24
25
26
27
J
K
L
M
N
O
P
MENT IN 2006-07 FOR KROGER (KR), SUPERVALU (SVU),
WAY (SWY),
1 AND WHOLE FOODS (WFMI)
STEXY
2
3
18
19
0.0123
0.0243
Actual
Return
S&P 500
Return
#NAME?
1.36%
13.13%
-0.19%
-0.09%
-0.09%
-0.33%
Positive
surprise
20
None-positive
surprise
21
22
#NAME?
23
24
#NAME?
25
26
#NAME?
27
#NAME?
1.46%
13.46%
T-stat
1.1808
5.5465
2.65%
#NAME?
-3.24%
#NAME?
Q
1
2
3
18
19
#NAME?
#NAME?
20
#NAME?
21
22
23
24
25
26
27
A
1
2
3
4
5
6
7
8
B
C
D
E
F
G
H
I
CUMULATIVE ABNORMAL RETURNS IN THE W
Calendar Date 7-Mar-06 20-Jun-06 12-Sep-06 5-Dec-06 18-Apr-06 26-Jul-06
Ticker
KR
KR
KR
KR
SVU
SVU
Consensus
0.36
0.42
0.29
0.28
0.56
0.57
Actual
0.39
0.42
0.29
0.3
0.55
0.53
Surprise
0.03
0.00
0.00
0.02
-0.01
-0.04
Starting Point
9 Intercept
10 Slope
11 STEXY
12
10-Oct-06 9-Jan-07
SVU
SVU
0.53
0.56
0.61
0.54
0.08
-0.02
44
117
175
234
73
142
195
256
0.0003
0.6662
0.0123
0.0004
0.6063
0.0113
0.0006
0.5628
0.0108
0.0003
0.4483
0.0118
-0.0008
0.7049
0.0123
-0.0003
0.5416
0.0122
-0.0002
0.6014
0.0128
0.0003
0.5238
0.0130
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
Day relative
to event
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
ABNORMAL RETUR
0.59%
-1.19%
1.08%
-0.67%
0.98%
-0.34%
-0.23%
-1.55%
0.93%
0.03%
1.46%
1.43%
-1.15%
1.08%
0.03%
0.11%
-0.12%
-0.20%
-0.18%
-1.34%
0.86%
-0.07%
0.89%
0.58%
-1.34%
-0.35%
1.41%
0.11%
-1.16%
-0.59%
-0.26%
5.01%
-0.63%
-0.56%
1.15%
1.37%
-0.31%
2.70%
0.35%
0.73%
-0.52%
0.08%
0.72%
0.38%
-0.32%
0.85%
-0.59%
-0.84%
0.49%
-0.39%
1.97%
0.29%
-6.31%
0.38%
0.93%
-2.90%
0.27%
-0.31%
0.50%
-0.96%
1.90%
0.14%
-0.14%
-0.46%
-1.20%
0.00%
-0.23%
-0.67%
0.42%
0.62%
-1.92%
0.98%
2.63%
4.87%
-1.35%
-0.15%
-0.24%
2.61%
1.19%
-0.42%
0.75%
0.33%
-2.86%
-1.19%
-0.68%
-1.06%
0.25%
-0.86%
-0.55%
0.29%
-0.71%
-1.01%
0.34%
0.29%
-1.39%
-1.12%
1.43%
-0.82%
0.36%
-0.99%
-0.23%
0.63%
0.46%
0.23%
-0.88%
-1.81%
0.33%
-0.35%
1.30%
1.24%
0.13%
0.79%
-0.64%
0.49%
-0.60%
-7.03%
-4.37%
-2.64%
0.87%
0.20%
0.62%
-0.76%
0.11%
-0.41%
-1.15%
-1.27%
-1.04%
-0.43%
0.29%
0.05%
-0.66%
2.44%
-0.63%
-0.11%
-0.05%
2.95%
4.26%
0.58%
0.99%
0.20%
-0.71%
-0.47%
0.83%
0.27%
-0.02%
-0.23%
0.00%
0.47%
0.36%
-0.92%
0.66%
-0.48%
-1.05%
0.71%
-0.46%
0.68%
-0.79%
-1.70%
-1.57%
1.59%
-0.91%
-0.56%
-0.53%
0.04%
1.26%
1.75%
0.04%
0.48%
A
42
43
B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
Q
R
S
RETURNS
1 IN THE WINDOW -10 TO +10
2
3
4
5
6
7
8
9
10
11
12
27-Apr-06 20-Jul-06
SWY
SWY
0.3
0.36
0.32
0.42
0.02
0.06
12-Oct-06 27-Feb-07 4-May-06 1-Aug-06 3-Nov-06 22-Feb-07
SWY
SWY
WFMI
WFMI
WFMI
WFMI
0.39
0.6
0.35
0.34
0.29
0.4
0.39
0.61
0.36
0.35
0.29
0.38
0.00
0.01
0.01
0.01
0.00
-0.02
80
138
197
289
85
146
213
286
0.0001
1.0139
0.0130
0.0001
0.9289
0.0118
0.0003
0.7533
0.0134
0.0012
0.7505
0.0131
0.0006
0.8345
0.0175
-0.0007
1.2329
0.0164
-0.0014
1.3199
0.0195
-0.0020
1.5321
0.0243
13
ABNORMAL RETURN
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
0.32%
0.65%
-0.65%
0.90%
-2.40%
-0.66%
-0.57%
-0.80%
0.61%
0.82%
2.54%
-0.12%
1.33%
-3.28%
-1.34%
0.58%
1.02%
-0.45%
-1.43%
-0.82%
0.46%
-0.01%
-0.96%
0.21%
-0.78%
0.20%
0.19%
0.93%
0.92%
1.79%
-1.33%
9.17%
0.83%
-1.44%
-0.24%
-0.23%
0.76%
-1.13%
-0.09%
0.26%
1.04%
-0.33%
0.36%
-0.94%
0.22%
-0.16%
-3.61%
-4.99%
0.88%
1.21%
2.36%
0.30%
-2.18%
-2.34%
0.34%
0.35%
1.26%
-1.94%
0.93%
0.13%
-2.28%
0.13%
0.92%
0.46%
0.29%
0.60%
-0.96%
0.33%
0.68%
0.21%
-3.80%
-1.12%
0.60%
-1.41%
1.01%
0.37%
-1.44%
-0.06%
-0.59%
-0.40%
1.20%
-0.12%
-0.12%
-0.12%
-0.52%
-1.94%
-1.20%
-1.27%
-0.59%
-1.35%
0.09%
0.41%
-0.28%
1.08%
12.17%
1.42%
0.37%
-1.78%
-0.40%
0.04%
-0.76%
1.25%
-0.46%
-1.59%
-0.85%
-3.87%
0.93%
-0.33%
-0.18%
-1.79%
-0.97%
-1.88%
0.85%
1.38%
0.01%
-11.88%
-0.14%
-0.19%
0.67%
0.24%
-4.00%
-1.24%
-0.02%
-1.25%
7.14%
2.10%
0.05%
-0.06%
-0.98%
0.53%
0.10%
0.25%
0.31%
-1.52%
0.03%
-4.74%
-25.78%
-0.94%
2.02%
3.11%
0.14%
0.44%
0.84%
0.25%
-0.34%
-0.99%
-0.12%
0.26%
0.94%
1.82%
-0.87%
-0.11%
0.35%
0.35%
1.22%
-1.01%
-0.39%
13.46%
-2.45%
0.06%
0.94%
-1.13%
-1.13%
0.41%
1.97%
-0.63%
-1.50%
-0.63%
Day
relative
to event
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
1
2
3
4
5
6
7
8
9
10
#N
38
39
40
41
J
42
43
K
L
M
N
O
P
Q
R
S
T
U
V
1
2
3
4
5
6
7
8
9
10
11
12
W
X
Y
Z
#NAME?
Unadjusted cross-sectional errors Positive
Unadjusted cross-sectional errors Non-Positive
0.49%
0.54%
Non-Positive Earnings
Announcements
Positive-Earnings Announcements
13
AAR
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
-0.57%
-0.48%
0.00%
-0.39%
-0.57%
0.05%
-0.18%
-0.75%
0.53%
0.85%
2.65%
0.46%
0.02%
-0.63%
0.02%
-0.30%
-0.28%
0.34%
-0.36%
0.15%
0.12%
T-stat
-1.1615
-0.9931
0.0026
-0.8046
-1.1777
0.1043
-0.3753
-1.5410
1.0900
1.7437
5.4406
0.9409
0.0335
-1.2939
0.0355
-0.6087
-0.5690
0.6998
-0.7326
0.3154
0.2425
#NAME?
Cumulative
Abnormal
Returns
-0.57%
-1.05%
-1.05%
-1.44%
-2.01%
-1.96%
-2.14%
-2.89%
-2.36%
-1.51%
1.13%
1.59%
1.61%
0.98%
0.99%
0.70%
0.42%
0.76%
0.41%
0.56%
0.68%
AAR
-0.09%
0.10%
0.04%
0.01%
-0.54%
-0.55%
0.37%
-0.34%
0.54%
-0.74%
-3.24%
-1.63%
0.40%
0.22%
0.24%
-0.52%
0.55%
0.47%
0.14%
-0.45%
-0.20%
T-stat
-0.1632
0.1944
0.0670
0.0251
-1.0058
-1.0278
0.6774
-0.6376
0.9917
-1.3685
-6.0062
-3.0190
0.7356
0.4121
0.4434
-0.9620
1.0269
0.8643
0.2680
-0.8382
-0.3614
Cumulative
Abnormal
Returns
-0.09%
0.02%
0.05%
0.07%
-0.48%
-1.03%
-0.67%
-1.01%
-0.47%
-1.21%
-4.46%
-6.08%
-5.69%
-5.47%
-5.23%
-5.75%
-5.19%
-4.72%
-4.58%
-5.03%
-5.23%
#NAME?
38
39
40
41
#NAME?
#NAME?
AA
T
U
V
W
X
Y
Z
42
#NAME?
43
#NAME?
AA
AB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
NAME?
NAME?
38
39
40
41
AB
42
NAME?
43
Cumulative Average Abnormal Returns
2%
Positive Earnings Announcements
1%
0%
-1%
-2%
-3%
-4%
-5%
-6%
Non-Positive Earnings Announcements
-7%
-10
-9
-8
-7
-6
-5
-4
-3
-2
-1
0
Event Days
1
2
3
4
5
6
7
8
9
10
Wendy’s Intl vs. S&P 500 and S&P 500 Restaurant Index
1/3/03 3/16/07
40.00
Wendy’s International
Announced stock buyback
35.00
30.00
25.00
S&P 500 Restaurant Index
20.00
15.00
S&P 500
10.00
5.00
0.00
3-Jan-03
5-Jun-03
5-Nov-03
6-Apr-04
7-Sep-04
7-Feb-05
10-Jul-05
11-Dec-05
13-May-06
13-Oct-06
Note: The S&P 500 and the S&P 500 Restaurant Index are indexed to $12.04 the closing price of Wendy’s International on January 3, 2003.
16-Mar-07
A
1
2
3
4
5
6
7
8
9
10
B
C
D
E
WENDY’S RETURNS: ESTIMATION WINDOW AND EV
Slope –>
Standard Error –>
R2 –>
F statistic –>
SSxy –>
Industry
0.4157
0.0851
0.3140
56.9738
0.0122
Market
0.5095
0.1410
0.0103
249
0.0266
Intercept
0.0012
0.0007
#N/A
#N/A
#N/A
4.8818
3.6142
1.8367
t-stat
Days in estimation
11 window
12
13
Date
252
#NAME?
EVENT W
Wendy’s Intl
S&P 500
S&P 500
Restaurant Index
14
15
16
17
15-Nov-05
16-Nov-05
17-Nov-05
0.08%
-0.37%
0.84%
-0.39%
0.18%
0.94%
-1.26%
-0.93%
1.60%
18
19
18-Nov-05
21-Nov-05
0.27%
1.08%
0.44%
0.53%
0.19%
0.92%
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
9-Nov-06
10-Nov-06
13-Nov-06
14-Nov-06
15-Nov-06
16-Nov-06
17-Nov-06
20-Nov-06
21-Nov-06
22-Nov-06
-0.89%
1.46%
0.08%
0.73%
0.25%
0.31%
-6.44%
-1.59%
0.15%
2.80%
-0.53%
0.19%
0.25%
0.63%
0.24%
0.23%
0.10%
-0.05%
0.16%
0.23%
-0.35%
0.95%
-0.05%
0.03%
0.21%
1.26%
-1.78%
-0.19%
0.07%
0.27%
4%
2/7/2005
2/8/2005
2/9/2005
2%
2/10/2005
2/11/2005
2/14/2005
0%
2/15/2005
2/16/2005
2/17/2005
-2%
2/18/2005
2/22/2005
2/23/2005
2/24/2005
-4%
2/25/2005
#NAME?
15nov06
16nov06
17nov06
Expected
return
0.33%
0.76%
-0.57%
0.02%
0.23%
0.35%
20nov06
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
A
2/28/2005
3/1/2005
-6%
-8%
B
Expected return
Abnormal return (AR)
Cumulative abnormal return (CAR)
-10%
x-axis for chart
15nov06
16nov06
17nov06
20nov06
21nov06
22nov06
C
11/15/06
11/16/06
11/17/06
11/20/06
11/21/06
11/22/06
D
E
F
G
H
I
J
TIMATION WINDOW
AND EVENT WINDOW
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
#NAME?
Cell C5 is the standard error of the y estimate,
used in the t-test of the abnormal returns
EVENT WINDOW
Cumulative
Abnormal
abnormal
return (AR)
return (CAR)
#NAME?
18
19
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
T-test of
AR
#NAME?
-0.08%
-0.45%
-5.87%
-1.61%
-0.08%
2.45%
21nov06
-0.08%
-0.53%
-6.40%
-8.01%
-8.09%
-5.64%
#NAME?
#NAME?
#NAME?
22nov06
-0.0741
-0.4363
-5.6805
-1.5582
-0.0784
#NAME?
F
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
G
H
I
J
A
1
2
3
4
5
6
7
8
9
10
C
D
E
WENDY RETURNS: ESTIMATION WINDOW AND EVENT WINDO
Slope –>
Standard Error –>
R2 –>
F statistic –>
SSxy –>
t-stat
Days in estimation
11 window
12
13
Date
14
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
B
14-Nov-06
15-Nov-06
16-Nov-06
17-Nov-06
20-Nov-06
21-Nov-06
22-Nov-06
7-Feb-05
8-Feb-05
9-Feb-05
10-Feb-05
11-Feb-05
14-Feb-05
15-Feb-05
16-Feb-05
17-Feb-05
18-Feb-05
22-Feb-05
23-Feb-05
24-Feb-05
25-Feb-05
28-Feb-05
1-Mar-05
Industry
0.4157
0.0851
0.3140
56.9738
0.0122
Market
0.5095
0.1410
0.0103
249
0.0266
Intercept
0.0012
0.0007
#N/A
#N/A
#N/A
4.8818
3.6142
1.8367
252
#NAME?
#NAME?
EVENT WINDOW
Wendy’s Intl
0.73%
0.25%
0.31%
-6.44%
-1.59%
0.15%
2.80%
S&P 500
0.63%
0.24%
0.23%
0.10%
-0.05%
0.16%
0.23%
S&P 500
Restaurant Index
Expected
return
0.03%
0.21%
1.26%
-1.78%
-0.19%
0.07%
0.27%
0.33%
0.76%
-0.57%
0.02%
0.23%
0.35%
-0.74%
0.05%
-0.08%
-0.03%
298
299
300
301
302
303
304
305
306
307
308
A
B
x-axis for chart
15nov06
16nov06
17nov06
20nov06
21nov06
22nov06
11/15/06
11/16/06
11/17/06
11/20/06
11/21/06
11/22/06
C
D
E
F
G
H
NDOW AND EVENT WINDOW
1
2
3
4
5
6
7
8
9
10
#NAME?
11
12
13EVENT WINDOW
Cumulative
Abnormal
abnormal
return (AR)
14
return (CAR)
266
267
-0.08%
-0.08%
268
-0.45%
-0.53%
269
-5.87%
-6.40%
270
-1.61%
-8.01%
271
-0.08%
-8.09%
272
2.45%
-5.64%
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
#NAME?
#NAME?
#NAME?
A
1
2
3
4
5
6
7
8
9
10
C
D
E
WENDY RETURNS: ESTIMATION WINDOW AND EVENT WINDO
Slope –>
Standard Error –>
R2 –>
F statistic –>
SSxy –>
t-stat
Days in estimation
11 window
12
13
Date
14
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
B
14-Nov-06
15-Nov-06
16-Nov-06
17-Nov-06
20-Nov-06
21-Nov-06
22-Nov-06
7-Feb-05
8-Feb-05
9-Feb-05
10-Feb-05
11-Feb-05
14-Feb-05
15-Feb-05
16-Feb-05
17-Feb-05
18-Feb-05
22-Feb-05
23-Feb-05
24-Feb-05
25-Feb-05
28-Feb-05
1-Mar-05
Industry
0.4157
0.0851
0.3140
56.9738
0.0122
Market
0.5095
0.1410
0.0103
249
0.0266
Intercept
0.0012
0.0007
#N/A
#N/A
#N/A
4.8818
3.6142
1.8367
252
#NAME?
#NAME?
EVENT WINDOW
Wendy’s Intl
0.73%
0.25%
0.31%
-6.44%
-1.59%
0.15%
2.80%
S&P 500
0.63%
0.24%
0.23%
0.10%
-0.05%
0.16%
0.23%
S&P 500
Restaurant Index
Expected
return
0.03%
0.21%
1.26%
-1.78%
-0.19%
0.07%
0.27%
0.33%
0.76%
-0.57%
0.02%
0.23%
0.35%
-0.74%
0.05%
-0.08%
-0.03%
298
299
300
301
302
303
304
305
306
307
308
A
B
x-axis for chart
15nov06
16nov06
17nov06
20nov06
21nov06
22nov06
11/15/06
11/16/06
11/17/06
11/20/06
11/21/06
11/22/06
C
D
E
F
G
H
NDOW AND EVENT WINDOW
1
2
3
4
5
6
7
8
9
10
#NAME?
11
12
13EVENT WINDOW
Cumulative
Abnormal
abnormal
return (AR)
14
return (CAR)
266
267
-0.08%
-0.08%
268
-0.45%
-0.53%
269
-5.87%
-6.40%
270
-1.61%
-8.01%
271
-0.08%
-8.09%
272
2.45%
-5.64%
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
#NAME?
#NAME?
#NAME?
A
1
Date
2
3
3-Jan-97
4
6-Jan-97
5
7-Jan-97
6
8-Jan-97
7
9-Jan-97
8
10-Jan-97
9
13-Jan-97
10
14-Jan-97
11
15-Jan-97
12
16-Jan-97
13
17-Jan-97
14
20-Jan-97
15
21-Jan-97
16
22-Jan-97
17
23-Jan-97
18
24-Jan-97
19
27-Jan-97
20
28-Jan-97
21
29-Jan-97
22
30-Jan-97
23
31-Jan-97
24
3-Feb-97
25
26 Starting date
Rows from top of data
27 to starting date
28 Regression
29 Intercept
30 Slope
31 R-squared
32
33
34 Check
35 Intercept
36 Slope
37 R-squared
B
C
D
E
F
USING OFFSET, COUNTIF, AND TEXT
TO LOCATE A REGRESSION IN A DATA SET
General
Mills
GIS
57.96
58.19
59.33
59.33
59.91
59.91
59.68
59.91
59.56
59.56
59.56
59.44
60.71
61.4
62.09
61.63
61.29
61.06
62.09
62.21
62.44
62.09
Return
0.0040
0.0194
0.0000
0.0097
0.0000
-0.0038
0.0038
-0.0059
0.0000
0.0000
-0.0020
0.0211
0.0113
0.0112
-0.0074
-0.0055
-0.0038
0.0167
0.0019
0.0037
-0.0056
29-Jan-97
19
#NAME?
0.0022
0.5198
0.1413
#NAME?
#NAME?
#NAME?
0.0022
0.5198
0.1413
#NAME?
#NAME?
#NAME?
SP500
#NAME?
748.03
747.65
753.23
748.41
754.85
759.5
759.51
768.86
767.2
769.75
776.17
776.7
782.72
786.23
777.56
770.52
765.02
765.02
772.5
784.17
786.16
786.73
Return
-0.0005
0.0074
-0.0064
0.0086
0.0061
0.0000
0.0122
-0.0022
0.0033
0.0083
0.0007
0.0077
0.0045
-0.0111
-0.0091
-0.0072
0.0000
0.0097
0.0150
0.0025
0.0007
G
F, AND TEXT
IN A DATA
1 SET
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
#NAME?
PRICES AND RETURNS: WENDY’S, S&P500, INDUSTRY INDEX
Date
Wendy’s
price
2-Jan-03
3-Jan-03
6-Jan-03
7-Jan-03
8-Jan-03
9-Jan-03
10-Jan-03
13-Jan-03
14-Jan-03
15-Jan-03
16-Jan-03
17-Jan-03
21-Jan-03
22-Jan-03
23-Jan-03
24-Jan-03
27-Jan-03
28-Jan-03
29-Jan-03
30-Jan-03
31-Jan-03
3-Feb-03
4-Feb-03
5-Feb-03
6-Feb-03
7-Feb-03
10-Feb-03
11
