Determine the abnormal returns for sov on each of the days

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Reference no: EM132172614

Question - Sovereign Ltd (SOV) declared a dividend of $0.40 on 10 March 2009. Sovereign's shares will go ex-dividend on 6 April 2009. It had previously declared a dividend on 14 September 2008. The share price, index and bond data around the time of the dividend declaration were as follows.

Date	Sovereign Stock Price ($)	Index (pts)	Accumulation Index (pts)	10 year Government Bonds (% p.a.)
2 March 2009	2.44	4320	10589	5.48
3 March 2009	2.42	4352	10659	5.44
4 March 2009	2.39	4299	10549	5.34
5 March 2009	2.41	4333	10660	5.41
6 March 2009	2.45	4358	10711	5.50
9 March 2009	2.66	4410	10854	5.49
10 March 2009	2.89	4450	10946	5.46
11 March 2009	3.20	4397	10835	5.47
12 March 2009	3.34	4431	10914	5.45

Market analysts have determined that the standard deviation of excess daily returns of SOV is 1.43%, whilst the standard deviation of the excess daily returns on the Index is 0.47% and the Accumulation Index is 0.48%. The coefficient of correlation between SOV and the Index is 0.64, whilst the coefficient of correlation between SOV and the Accumulation Index is 0.58.

Using this information, determine the abnormal returns for SOV on each of the days from 3 March 2009 to 12 March 2009. Present your calculations in a table format.

Reference no: EM132172614

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