What dollar amount was due to the announcement

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Before the start of the trading day on the morning of November 17th, 2004, Sears and K-Mart announced that K-Mart would be taking over Sears. Sears' stock price was $45.20 per share at the end of the day on November 16th, and $52.99 per share at the end of the day on November 17th. The beta of Sears' stock was 0.614. The return on the market portfolio of risky assets was 0.78 percent on November 17th, and no dividends were paid on November 16th or 17th. Assume the riskless rate is zero and the alpha of Sears' stock is zero, and assume that no other news came out about Sears or K-Mart on November 16th and 17th. Of the change in Sears' stock price from $45.20 per share to $52.99 per share, what dollar amount was due to the announcement? (Hint: calculate b) this announcement is an idiosyncratic event)

Reference no: EM132017431

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