Chapter 14

Problem 1

Input boxes in tan

Output boxes in yellow
Given data in blue
Calculations in red
Answers in green

NOTE: Some functions used in these spreadsheets may require that

the "Analysis ToolPak" or "Solver Add-in" be installed in Excel.
To install these, click on "Tools|Add-Ins" and select "Analysis ToolPak"
and "Solver Add-In."
sis ToolPak"
Chapter 14
Question 1

Input area:

Delta United
Market Company Market Company
Date Return Return Date Return Return Date
7/12 -0.3 -0.5 2/8 -0.9 -1.1 10/1
7/13 0.0 0.2 2/9 -1.0 -1.1 10/2
7/16 0.5 0.7 2/10 0.4 0.2 10/3
7/17 -0.5 -0.3 2/11 0.6 0.8 10/6
7/18 -2.2 1.1 2/12 -0.3 -0.1 10/7
7/19 -0.9 -0.7 2/15 1.1 1.2 10/8
7/20 -1.0 -1.1 2/16 0.5 0.5 10/9
7/23 0.7 0.5 2/17 -0.3 -0.2 10/10
7/24 0.2 0.1 2/18 0.3 0.2 10/13

Output area:

Average Cumulative
Days from Abmormal returns Abnormal Average
Announcement Delta United American Sum Return Residual
-4 -0.2 -0.2 -0.2 -0.6 -0.2 -0.2
-3 0.2 -0.1 0.2 0.3 0.1 -0.1
-2 0.2 -0.2 0.0 0.0 0.0 -0.1
-1 0.2 0.2 -0.4 0.0 0.0 -0.1
0 3.3 0.2 1.9 5.4 1.8 1.7
1 0.2 0.1 0.0 0.3 0.1 1.8
2 -0.1 0.0 0.1 0.0 0.0 1.8
3 -0.2 0.1 -0.2 -0.3 -0.1 1.7
4 -0.1 -0.1 -0.1 -0.3 -0.1 1.6

Cumulative Abnormal Returns

2.0

1.5

1.0
CAR

0.5

0.0
-4 -3 -2 -1 0 1 2 3 4
-0.5
Days from announcement
CA
0.5

0.0
-4 -3 -2 -1 0 1 2 3 4
-0.5
Days from announcement
 American Airlines
Market Company
Return Return
0.5 0.3
0.4 0.6
1.1 1.1
0.1 -0.3
-2.2 -0.3
0.5 0.5
-0.3 -0.2
0.3 0.1
0.0 -0.1