Refer to the ProcterGamble data below. Closing Prices for Procter & Gamble (PG), excess returns...
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Refer to the ProcterGamble data below. Closing Prices for Procter & Gamble (PG), excess returns data for the market and 1-month T-Bill Yields are provided. On 28th January 2005, Procter & Gamble (PG) announced a bid for Gillette Company. Do an event study analysis to examine the impact of this announcement on the stock price of PG. Among other things, divide the returns data for the company into three windows as discussed in the lecture video. Compute the Expected Returns, Abnormal Returns, Cumulative Abnormal Returns and determine if any of the Abnormal Returns are significant in the relevant window. Present a brief discussion. In the discussion you should highlight the following: i) Start Date and End Date of each analysis window. How many trading days for each window? (80) (ii) Include a graphical analysis in your discussion
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