Outline of an Event Study

On 28th January 2005, P&G announced a bid for Gillette company. As can be from the
The bid valued Gillette at a premium of 18% over its market price.
As might be expected, the bid had a dramatic effect on Gillette's stock price.

Outcomes of interest:-
1. Estimation window
2. Event window
3. Post event window
4. Expected return calculation for P&G and Gillette during the event window
5. Abnormal return of P&G and Gillette during the event window
6. Cumulative abnormal return of P&G and Gillette during the event window
7. Abnormal return t-test to estimate the significance level
8. Estimating synergy of the announced deal.
. As can be from the press release.

tock price.
 P&G Gillette Index
1/27/2004 30.8261 592.0491 5993.06
1/28/2004 30.65205 586.6649 5876.05
1/29/2004 31.39177 585.8842 5802.75
1/30/2004 31.41663 582.966 5695.67
2/3/2004 31.70879 531.8372 5620.98
2/4/2004 32.07556 530.1521 5756.76
2/5/2004 31.91704 531.8782 5720.63
2/6/2004 31.81447 535.1663 5786.35
2/9/2004 31.87351 540.1807 5926.22
2/10/2004 31.81136 546.5922 5932.52
2/11/2004 32.07556 540.2218 5949.78
2/12/2004 31.8238 539.5229 5936.96
2/13/2004 31.71813 553.1684 6011.66
2/17/2004 32.05069 549.1815 6035.8
2/18/2004 31.99784 546.1402 6027.02
2/19/2004 31.83623 537.879 5855.1
2/20/2004 31.85798 534.4266 5850.72
2/23/2004 32.19054 523.4526 5698.04
2/24/2004 31.63421 516.137 5734.44
2/25/2004 31.91704 522.8362 5618.15
2/26/2004 32.03515 517.2878 5567.12
2/27/2004 31.86109 524.8502 5667.51
3/1/2004 32.28069 521.8088 5823.17
3/3/2004 31.84556 506.9305 5842.2
3/4/2004 31.73365 503.1903 5815.87
3/5/2004 31.62798 514.4108 5880.35
3/8/2004 31.84867 507.8347 5935.19
3/9/2004 31.85487 496.4088 5850.61
3/10/2004 32.79974 496.1211 5759.29
3/11/2004 32.30866 488.8874 5649.86
3/12/2004 32.3615 488.1477 5700.4
3/15/2004 31.8642 493.0796 5520.66
3/16/2004 32.03203 477.3382 5525.09
3/17/2004 32.39257 474.4201 5535.69
3/18/2004 32.45784 470.8444 5414.94
3/19/2004 32.33353 466.5288 5443.44
3/22/2004 32.31488 440.9236 5365.4
3/23/2004 32.12527 436.7313 5400.99
3/24/2004 32.0196 425.3466 5395.28
3/25/2004 32.49204 414.5782 5414.44
3/26/2004 32.30866 414.3728 5528.94
3/29/2004 32.59771 411.7423 5571.37
3/30/2004 32.9396 414.8248 5520.44
3/31/2004 32.59771 424.6478 5590.6
4/1/2004 32.9396 442.8141 5740.85
4/2/2004 32.98001 450.3354 5788.08
4/5/2004 33.0546 468.4196 5838.02
 4/6/2004 33.25663 459.5008 5822.42
4/7/2004 33.08568 452.3905 5815.13
4/8/2004 33.07014 456.8292 5838.45
4/12/2004 33.29391 469.365 5783.79
4/13/2004 32.92407 466.2824 5904.52
4/15/2004 32.98312 458.6788 5843.97
4/16/2004 32.93649 463.4464 5862.82
4/19/2004 32.95204 478.078 5800.54
4/20/2004 32.5138 473.7625 5804.81
4/21/2004 32.33578 473.9294 5876.42
4/22/2004 32.67617 464.2515 5924.18
4/23/2004 32.78861 470.8843 5925.58
4/27/2004 32.98848 460.2051 5712.28
4/28/2004 32.53254 455.533 5713.09
4/29/2004 33.09469 456.409 5668.43
4/30/2004 33.03845 482.6479 5655.09
5/3/2004 33.35076 510.1383 5584.99
5/4/2004 33.19774 550.1018 5647.15
5/5/2004 33.35701 529.0355 5686.19
5/6/2004 33.65994 531.9556 5757.3
5/7/2004 33.3289 518.2729 5669.58
5/10/2004 33.00098 531.2882 5555.84
5/11/2004 33.12903 515.6865 5325.9
5/12/2004 33.14777 510.0967 5358.35
5/13/2004 32.88855 519.8165 5399.47
5/14/2004 33.23209 484.4419 5069.87
5/17/2004 33.19149 455.4912 4505.16
5/18/2004 33.1228 471.5516 4877.02
5/19/2004 32.94165 469.1322 5006.1
5/20/2004 33.31955 472.803 4932.11
5/21/2004 33.38824 473.9294 4961.57
5/24/2004 33.15713 504.048 5123.23
5/25/2004 33.65369 498.7501 5102.22
5/26/2004 33.60372 496.8312 5081.95
5/27/2004 33.90979 492.618 5058.55
5/28/2004 33.67244 474.0545 4835.39
6/1/2004 33.91602 469.2572 4835.12
6/2/2004 33.98161 472.5529 4923.69
6/3/2004 33.71304 463.292 4817.99
6/4/2004 33.68805 473.1368 4889
6/7/2004 34.19709 474.9723 4938.15
6/8/2004 34.44381 471.3848 4962.63
6/9/2004 34.59061 475.3895 4963.75
6/10/2004 34.51564 475.4312 4944.64
6/14/2004 34.5219 468.8401 4746.01
6/15/2004 34.67804 474.5968 4814.85
6/16/2004 34.72178 474.6386 4788.8
6/17/2004 34.46881 473.0951 4839.88
6/18/2004 34.4126 476.4323 4769.99
6/21/2004 34.66557 473.4706 4738.62
6/22/2004 34.9154 467.5887 4735.86
6/23/2004 34.95288 460.6222 4644
6/24/2004 34.53437 463.3336 4708.55
6/25/2004 34.19709 465.7533 4756.39
6/28/2004 34.10341 472.3024 4837.6
6/29/2004 34.25956 470.7174 4841.38
6/30/2004 34.00348 468.5481 4795.46
7/1/2004 33.8848 475.6816 4874.05
7/2/2004 33.93477 471.4265 4870.58
7/6/2004 33.82235 479.436 4928.59
7/7/2004 33.99099 482.6479 4955.97
7/8/2004 34.07217 465.7533 4843.84
7/9/2004 34.17835 467.1298 4945.48
7/12/2004 34.27829 473.7625 4944.54
7/13/2004 34.29079 473.9711 4898.99
7/14/2004 34.40323 464.7103 4848.3
7/15/2004 34.35949 469.883 4888.19
7/16/2004 34.41572 474.9306 4951.17
7/19/2004 34.15338 480.437 4975.4
7/20/2004 34.04097 479.269 4957.88
7/21/2004 33.40719 488.2379 4993.76
7/22/2004 33.49505 500.2935 5054.29
7/23/2004 32.93659 499.5844 5073.34
7/26/2004 33.3319 504.1732 5118.17
7/27/2004 33.81506 502.2125 5075.88
7/28/2004 33.53268 497.415 5070.29
7/29/2004 33.20639 484.5252 5120.45
7/30/2004 32.72323 480.5205 5170.32
8/2/2004 33.46994 474.8056 5202.53
8/3/2004 33.67074 475.3477 5194.63
8/4/2004 33.92173 469.9247 5169.07
8/5/2004 33.35072 469.5494 5252.78
8/6/2004 33.25032 468.2562 5196.99
8/9/2004 33.31307 466.6709 5233.21
8/10/2004 34.00957 463.2086 5252.05
8/11/2004 34.3045 455.0324 5175.16
8/12/2004 34.06606 461.9154 5139.77
8/13/2004 34.17272 463.4171 5102.92
8/16/2004 34.49274 466.4624 5102.37
8/17/2004 34.41118 464.1263 5102.94
8/18/2004 34.63705 463.9177 5038.28
8/19/2004 34.18527 461.3313 5123.65
8/20/2004 34.41744 461.3313 5064.66
8/23/2004 34.35468 459.9964 5033.69
8/24/2004 34.48018 455.1574 5067.39
8/25/2004 34.69981 464.7937 5088.56
 8/26/2004 34.95079 466.8795 5135.45
8/27/2004 35.1265 494.5787 5117.01
8/30/2004 34.83159 490.9911 5186.45
8/31/2004 35.12022 484.6919 5192.08
9/1/2004 35.26453 492.618 5210.85
9/2/2004 35.44653 493.9529 5198.72
9/3/2004 35.48416 486.0685 5218.46
9/7/2004 35.54691 484.1496 5264.67
9/8/2004 35.5971 485.7349 5298.16
9/9/2004 35.19553 483.9412 5298.23
9/10/2004 35.252 486.4857 5370.05
9/13/2004 35.30848 505.1327 5397.46
9/14/2004 35.54691 507.6354 5428.77
9/15/2004 35.32729 504.8824 5420.09
9/16/2004 35.08258 511.223 5477.68
9/17/2004 35.30219 507.9691 5561.15
9/20/2004 34.12253 501.5451 5545.82
9/21/2004 34.43626 500.7943 5605.93
9/22/2004 34.07232 506.0086 5616.87
9/23/2004 34.05978 500.1685 5539.48
9/24/2004 33.93428 494.0363 5527.75
9/27/2004 33.65191 490.2402 5511.81
9/28/2004 33.73976 489.4893 5462.61
9/29/2004 34.17272 491.2831 5527.56
9/30/2004 33.95937 485.0257 5583.61
10/1/2004 34.29823 491.2831 5675.54
10/4/2004 34.1037 487.9876 5766.3
10/5/2004 34.04721 490.2819 5758.67
10/6/2004 34.07232 486.7778 5713.75
10/7/2004 33.65817 484.5252 5773.66
10/8/2004 33.53896 486.5692 5776.85
10/11/2004 33.677 488.7801 5717.54
10/12/2004 33.58916 481.3132 5676.73
10/14/2004 33.23778 480.9378 5713.1
10/15/2004 33.68958 495.7466 5686.73
10/18/2004 33.67074 478.1009 5679.83
10/19/2004 33.2566 482.5646 5738.11
10/20/2004 33.76727 480.5622 5673.02
10/21/2004 33.80509 477.1832 5641.06
10/25/2004 32.99181 476.0568 5581.49
10/26/2004 33.54659 481.7719 5651.09
10/27/2004 32.64507 483.7326 5662.87
10/28/2004 32.34872 476.2655 5715.62
10/29/2004 32.26678 467.4218 5672.27
11/1/2004 32.15329 461.2478 5704.1
11/2/2004 32.13439 472.3859 5754.76
11/3/2004 32.6955 473.8043 5842.54
11/4/2004 33.53399 479.853 5832.88
 11/5/2004 33.74204 480.5205 5891.36
11/8/2004 33.59705 480.729 5930.47
11/9/2004 33.26921 483.8994 5929.6
11/10/2004 33.41422 487.5287 5973.75
11/11/2004 34.04466 499.8764 5954.31
11/12/2004 34.42294 501.2113 5964.01
11/16/2004 34.26532 498.3746 5996.7
11/17/2004 34.3536 504.3401 6016.58
11/18/2004 34.53011 518.6483 6025.47
11/19/2004 34.24642 525.9904 5961.71
11/22/2004 34.33467 534.0832 5963.8
11/23/2004 34.08251 545.2213 6009.86
11/24/2004 34.00684 540.7993 6035.95
11/29/2004 34.10771 542.0927 6157.77
11/30/2004 33.71684 529.7448 6234.29
12/1/2004 34.46077 522.7365 6227.83
12/2/2004 35.19209 537.2535 6328.43
12/3/2004 34.92101 537.629 6322.76
12/6/2004 34.23381 527.492 6322.5
12/7/2004 34.06989 518.5651 6316.28
12/8/2004 34.69403 517.6472 6261.52
12/9/2004 35.54516 515.8953 6304.27
12/10/2004 35.58299 520.6091 6233.54
12/13/2004 35.61451 522.4027 6268.72
12/14/2004 35.61451 522.0273 6325.53
12/15/2004 35.38123 531.7471 6402.29
12/16/2004 35.36863 528.7435 6420.38
12/17/2004 34.95252 525.8235 6346.48
12/20/2004 35.0471 537.0866 6403
12/21/2004 35.34972 542.301 6451.3
12/22/2004 35.25515 537.2952 6413.66
12/23/2004 35.0471 543.1356 6441.85
12/27/2004 34.92731 574.8392 6513.03
12/28/2004 34.95252 573.9214 6563.48
12/29/2004 34.82644 566.8298 6567.94
12/30/2004 34.95882 560.489 6522.54
12/31/2004 34.72556 564.9526 6602.69
1/3/2005 34.79492 575.5483 6679.2
1/4/2005 34.3599 583.2658 6651.01
1/5/2005 34.71926 578.3015 6458.84
1/6/2005 34.88949 559.8217 6367.39
1/7/2005 35.25515 564.4103 6420.46
1/10/2005 35.53254 557.3185 6308.54
Price movement P&G and G
1/11/2005 35.49472 550.7694 6222.87
1/12/2005 35.62711 533.1653 6102.74 700
1/13/2005 35.00925 535.0843 6221.06 600
1/14/2005 35.22993 534.3752 6173.82 500
1/18/2005 35.29927 524.7388 6192.35 400
300
200
100
0
 700
600
500
400
1/19/2005 35.89457 522.4443 6173.32 300
1/20/2005 35.90724 526.3657 6183.24 200
1/24/2005 34.96363 526.0319 6106.43 100
1/25/2005 35.29294 524.4053 6162.98 0
1/27/2005 35.0333 524.0297 6239.43 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 04 05
/ 20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20 /20
1/28/2005 34.29237 560.9896 6419.09 27 12 28 15 31 16 /2 18 /3 19 /5 21 /6 22 /7 23 /9 25 10 26 12 28 13
1/ 2/ 2/ 3/ 3/ 4/ 5 5/ 6 6/ 7 7/ 8 8/ 9 9/ 10 10/ 11/ 11/ 12/ 12/ 1/
1/31/2005 33.70974 566.6212 6555.94
2/1/2005 33.48175 564.744 6552.47 Gillette P&G
2/2/2005 33.8174 568.6652 6530.06
and G Price movement during event period
37 580 35.5
36 570 35
35 560
34 550 34.5
33 540 34
32
530 33.5
31
30 520
510 33
29
28 500 32.5
 37 580 35.5
36 570 35
35 560
34 550 34.5
33 540 34
32
530 33.5
31
30 520
510 33
29
28 500 32.5
4 04 04 04 04 04 04 04 05 05 05 05 05 05 05 05 05 05 05
0 0 0 0 0 0 0 0
/2 9/2 5/2 0/2 6/2 2/2 8/2 3/2 / 20 / 20 / 20 / 20 / 20 / 20 / 20 / 20 / 20 / 20
/ 2 1 2 1 2 1 24 25 26 27 28 29 30 31 2/
1
2/
2
10 10/ 11/ 11/ 12/ 12/ 1/ 1/ 1/ 1/ 1/ 1/ 1/ 1/ 1/

G Column C Column B
Regression Statistics
Alpha 0.000641
Beta -0.041239
Standard error 0.009473
R-squared 0.004831

P&G Index P&G_R I_R

1/27/2004 30.8261 5993.06
1/28/2004 30.65205 5876.05 -0.0057 -0.0197
1/29/2004 31.39177 5802.75 0.0238 -0.0126
1/30/2004 31.41663 5695.67 0.0008 -0.0186
2/3/2004 31.70879 5620.98 0.0093 -0.0132
2/4/2004 32.07556 5756.76 0.0115 0.0239
2/5/2004 31.91704 5720.63 -0.0050 -0.0063
2/6/2004 31.81447 5786.35 -0.0032 0.0114
2/9/2004 31.87351 5926.22 0.0019 0.0239
2/10/2004 31.81136 5932.52 -0.0020 0.0011
2/11/2004 32.07556 5949.78 0.0083 0.0029
2/12/2004 31.8238 5936.96 -0.0079 -0.0022
2/13/2004 31.71813 6011.66 -0.0033 0.0125
2/17/2004 32.05069 6035.8 0.0104 0.0040
2/18/2004 31.99784 6027.02 -0.0017 -0.0015
2/19/2004 31.83623 5855.1 -0.0051 -0.0289
2/20/2004 31.85798 5850.72 0.0007 -0.0007
2/23/2004 32.19054 5698.04 0.0104 -0.0264
2/24/2004 31.63421 5734.44 -0.0174 0.0064
2/25/2004 31.91704 5618.15 0.0089 -0.0205
2/26/2004 32.03515 5567.12 0.0037 -0.0091
2/27/2004 31.86109 5667.51 -0.0054 0.0179
3/1/2004 32.28069 5823.17 0.0131 0.0271
3/3/2004 31.84556 5842.2 -0.0136 0.0033
3/4/2004 31.73365 5815.87 -0.0035 -0.0045
3/5/2004 31.62798 5880.35 -0.0033 0.0110
3/8/2004 31.84867 5935.19 0.0070 0.0093
3/9/2004 31.85487 5850.61 0.0002 -0.0144
3/10/2004 32.79974 5759.29 0.0292 -0.0157
3/11/2004 32.30866 5649.86 -0.0151 -0.0192
3/12/2004 32.3615 5700.4 0.0016 0.0089
3/15/2004 31.8642 5520.66 -0.0155 -0.0320
3/16/2004 32.03203 5525.09 0.0053 0.0008
3/17/2004 32.39257 5535.69 0.0112 0.0019
3/18/2004 32.45784 5414.94 0.0020 -0.0221
3/19/2004 32.33353 5443.44 -0.0038 0.0052
3/22/2004 32.31488 5365.4 -0.0006 -0.0144
3/23/2004 32.12527 5400.99 -0.0059 0.0066
3/24/2004 32.0196 5395.28 -0.0033 -0.0011
3/25/2004 32.49204 5414.44 0.0146 0.0035
3/26/2004 32.30866 5528.94 -0.0057 0.0209
3/29/2004 32.59771 5571.37 0.0089 0.0076
3/30/2004 32.9396 5520.44 0.0104 -0.0092
3/31/2004 32.59771 5590.6 -0.0104 0.0126
4/1/2004 32.9396 5740.85 0.0104 0.0265
4/2/2004 32.98001 5788.08 0.0012 0.0082
4/5/2004 33.0546 5838.02 0.0023 0.0086
4/6/2004 33.25663 5822.42 0.0061 -0.0027
4/7/2004 33.08568 5815.13 -0.0052 -0.0013
4/8/2004 33.07014 5838.45 -0.0005 0.0040
4/12/2004 33.29391 5783.79 0.0067 -0.0094
4/13/2004 32.92407 5904.52 -0.0112 0.0207
4/15/2004 32.98312 5843.97 0.0018 -0.0103
4/16/2004 32.93649 5862.82 -0.0014 0.0032
4/19/2004 32.95204 5800.54 0.0005 -0.0107
4/20/2004 32.5138 5804.81 -0.0134 0.0007
4/21/2004 32.33578 5876.42 -0.0055 0.0123
4/22/2004 32.67617 5924.18 0.0105 0.0081
4/23/2004 32.78861 5925.58 0.0034 0.0002
4/27/2004 32.98848 5712.28 0.0061 -0.0367
4/28/2004 32.53254 5713.09 -0.0139 0.0001
4/29/2004 33.09469 5668.43 0.0171 -0.0078
4/30/2004 33.03845 5655.09 -0.0017 -0.0024
5/3/2004 33.35076 5584.99 0.0094 -0.0125
5/4/2004 33.19774 5647.15 -0.0046 0.0111
5/5/2004 33.35701 5686.19 0.0048 0.0069
5/6/2004 33.65994 5757.3 0.0090 0.0124
5/7/2004 33.3289 5669.58 -0.0099 -0.0154
5/10/2004 33.00098 5555.84 -0.0099 -0.0203
5/11/2004 33.12903 5325.9 0.0039 -0.0423
5/12/2004 33.14777 5358.35 0.0006 0.0061
5/13/2004 32.88855 5399.47 -0.0079 0.0076
5/14/2004 33.23209 5069.87 0.0104 -0.0630
5/17/2004 33.19149 4505.16 -0.0012 -0.1181
5/18/2004 33.1228 4877.02 -0.0021 0.0793
5/19/2004 32.94165 5006.1 -0.0055 0.0261
5/20/2004 33.31955 4932.11 0.0114 -0.0149
5/21/2004 33.38824 4961.57 0.0021 0.0060
5/24/2004 33.15713 5123.23 -0.0069 0.0321
5/25/2004 33.65369 5102.22 0.0149 -0.0041
5/26/2004 33.60372 5081.95 -0.0015 -0.0040
5/27/2004 33.90979 5058.55 0.0091 -0.0046
5/28/2004 33.67244 4835.39 -0.0070 -0.0451
6/1/2004 33.91602 4835.12 0.0072 -0.0001
6/2/2004 33.98161 4923.69 0.0019 0.0182
6/3/2004 33.71304 4817.99 -0.0079 -0.0217
6/4/2004 33.68805 4889 -0.0007 0.0146
6/7/2004 34.19709 4938.15 0.0150 0.0100
6/8/2004 34.44381 4962.63 0.0072 0.0049
 6/9/2004 34.59061 4963.75 0.0043 0.0002
6/10/2004 34.51564 4944.64 -0.0022 -0.0039
6/14/2004 34.5219 4746.01 0.0002 -0.0410
6/15/2004 34.67804 4814.85 0.0045 0.0144
6/16/2004 34.72178 4788.8 0.0013 -0.0054
6/17/2004 34.46881 4839.88 -0.0073 0.0106
6/18/2004 34.4126 4769.99 -0.0016 -0.0145
6/21/2004 34.66557 4738.62 0.0073 -0.0066
6/22/2004 34.9154 4735.86 0.0072 -0.0006
6/23/2004 34.95288 4644 0.0011 -0.0196
6/24/2004 34.53437 4708.55 -0.0120 0.0138
6/25/2004 34.19709 4756.39 -0.0098 0.0101
6/28/2004 34.10341 4837.6 -0.0027 0.0169
6/29/2004 34.25956 4841.38 0.0046 0.0008
6/30/2004 34.00348 4795.46 -0.0075 -0.0095
7/1/2004 33.8848 4874.05 -0.0035 0.0163
7/2/2004 33.93477 4870.58 0.0015 -0.0007
7/6/2004 33.82235 4928.59 -0.0033 0.0118
7/7/2004 33.99099 4955.97 0.0050 0.0055
7/8/2004 34.07217 4843.84 0.0024 -0.0229
7/9/2004 34.17835 4945.48 0.0031 0.0208
7/12/2004 34.27829 4944.54 0.0029 -0.0002
7/13/2004 34.29079 4898.99 0.0004 -0.0093
7/14/2004 34.40323 4848.3 0.0033 -0.0104
7/15/2004 34.35949 4888.19 -0.0013 0.0082
7/16/2004 34.41572 4951.17 0.0016 0.0128
7/19/2004 34.15338 4975.4 -0.0077 0.0049
7/20/2004 34.04097 4957.88 -0.0033 -0.0035
7/21/2004 33.40719 4993.76 -0.0188 0.0072
7/22/2004 33.49505 5054.29 0.0026 0.0120
7/23/2004 32.93659 5073.34 -0.0168 0.0038
7/26/2004 33.3319 5118.17 0.0119 0.0088
7/27/2004 33.81506 5075.88 0.0144 -0.0083
7/28/2004 33.53268 5070.29 -0.0084 -0.0011
7/29/2004 33.20639 5120.45 -0.0098 0.0098
7/30/2004 32.72323 5170.32 -0.0147 0.0097
8/2/2004 33.46994 5202.53 0.0226 0.0062
8/3/2004 33.67074 5194.63 0.0060 -0.0015
8/4/2004 33.92173 5169.07 0.0074 -0.0049
8/5/2004 33.35072 5252.78 -0.0170 0.0161
8/6/2004 33.25032 5196.99 -0.0030 -0.0107
8/9/2004 33.31307 5233.21 0.0019 0.0069
8/10/2004 34.00957 5252.05 0.0207 0.0036
8/11/2004 34.3045 5175.16 0.0086 -0.0147
8/12/2004 34.06606 5139.77 -0.0070 -0.0069
8/13/2004 34.17272 5102.92 0.0031 -0.0072
8/16/2004 34.49274 5102.37 0.0093 -0.0001
8/17/2004 34.41118 5102.94 -0.0024 0.0001
 8/18/2004 34.63705 5038.28 0.0065 -0.0128
8/19/2004 34.18527 5123.65 -0.0131 0.0168
8/20/2004 34.41744 5064.66 0.0068 -0.0116
8/23/2004 34.35468 5033.69 -0.0018 -0.0061
8/24/2004 34.48018 5067.39 0.0036 0.0067
8/25/2004 34.69981 5088.56 0.0063 0.0042
8/26/2004 34.95079 5135.45 0.0072 0.0092
8/27/2004 35.1265 5117.01 0.0050 -0.0036
8/30/2004 34.83159 5186.45 -0.0084 0.0135
8/31/2004 35.12022 5192.08 0.0083 0.0011
9/1/2004 35.26453 5210.85 0.0041 0.0036
9/2/2004 35.44653 5198.72 0.0051 -0.0023
9/3/2004 35.48416 5218.46 0.0011 0.0038
9/7/2004 35.54691 5264.67 0.0018 0.0088
9/8/2004 35.5971 5298.16 0.0014 0.0063
9/9/2004 35.19553 5298.23 -0.0113 0.0000
9/10/2004 35.252 5370.05 0.0016 0.0135
9/13/2004 35.30848 5397.46 0.0016 0.0051
9/14/2004 35.54691 5428.77 0.0067 0.0058
9/15/2004 35.32729 5420.09 -0.0062 -0.0016
9/16/2004 35.08258 5477.68 -0.0070 0.0106
9/17/2004 35.30219 5561.15 0.0062 0.0151
9/20/2004 34.12253 5545.82 -0.0340 -0.0028
9/21/2004 34.43626 5605.93 0.0092 0.0108
9/22/2004 34.07232 5616.87 -0.0106 0.0019
9/23/2004 34.05978 5539.48 -0.0004 -0.0139
9/24/2004 33.93428 5527.75 -0.0037 -0.0021
9/27/2004 33.65191 5511.81 -0.0084 -0.0029
9/28/2004 33.73976 5462.61 0.0026 -0.0090
9/29/2004 34.17272 5527.56 0.0128 0.0118
9/30/2004 33.95937 5583.61 -0.0063 0.0101
10/1/2004 34.29823 5675.54 0.0099 0.0163
10/4/2004 34.1037 5766.3 -0.0057 0.0159
10/5/2004 34.04721 5758.67 -0.0017 -0.0013
10/6/2004 34.07232 5713.75 0.0007 -0.0078
10/7/2004 33.65817 5773.66 -0.0122 0.0104
10/8/2004 33.53896 5776.85 -0.0035 0.0006
10/11/2004 33.677 5717.54 0.0041 -0.0103
10/12/2004 33.58916 5676.73 -0.0026 -0.0072
10/14/2004 33.23778 5713.1 -0.0105 0.0064
10/15/2004 33.68958 5686.73 0.0135 -0.0046
10/18/2004 33.67074 5679.83 -0.0006 -0.0012
10/19/2004 33.2566 5738.11 -0.0124 0.0102
10/20/2004 33.76727 5673.02 0.0152 -0.0114
10/21/2004 33.80509 5641.06 0.0011 -0.0056
10/25/2004 32.99181 5581.49 -0.0244 -0.0106
10/26/2004 33.54659 5651.09 0.0167 0.0124
10/27/2004 32.64507 5662.87 -0.0272 0.0021
10/28/2004 32.34872 5715.62 -0.0091 0.0093
10/29/2004 32.26678 5672.27 -0.0025 -0.0076
11/1/2004 32.15329 5704.1 -0.0035 0.0056
11/2/2004 32.13439 5754.76 -0.0006 0.0088
11/3/2004 32.6955 5842.54 0.0173 0.0151
11/4/2004 33.53399 5832.88 0.0253 -0.0017
11/5/2004 33.74204 5891.36 0.0062 0.0100
11/8/2004 33.59705 5930.47 -0.0043 0.0066
11/9/2004 33.26921 5929.6 -0.0098 -0.0001
11/10/2004 33.41422 5973.75 0.0043 0.0074
11/11/2004 34.04466 5954.31 0.0187 -0.0033
11/12/2004 34.42294 5964.01 0.0110 0.0016
11/16/2004 34.26532 5996.7 -0.0046 0.0055
11/17/2004 34.3536 6016.58 0.0026 0.0033
11/18/2004 34.53011 6025.47 0.0051 0.0015
11/19/2004 34.24642 5961.71 -0.0082 -0.0106
11/22/2004 34.33467 5963.8 0.0026 0.0004
11/23/2004 34.08251 6009.86 -0.0074 0.0077
11/24/2004 34.00684 6035.95 -0.0022 0.0043
11/29/2004 34.10771 6157.77 0.0030 0.0200
11/30/2004 33.71684 6234.29 -0.0115 0.0124
12/1/2004 34.46077 6227.83 0.0218 -0.0010
12/2/2004 35.19209 6328.43 0.0210 0.0160
12/3/2004 34.92101 6322.76 -0.0077 -0.0009
12/6/2004 34.23381 6322.5 -0.0199 0.0000
12/7/2004 34.06989 6316.28 -0.0048 -0.0010
12/8/2004 34.69403 6261.52 0.0182 -0.0087
12/9/2004 35.54516 6304.27 0.0242 0.0068
12/10/2004 35.58299 6233.54 0.0011 -0.0113
12/13/2004 35.61451 6268.72 0.0009 0.0056
12/14/2004 35.61451 6325.53 0.0000 0.0090
12/15/2004 35.38123 6402.29 -0.0066 0.0121
12/16/2004 35.36863 6420.38 -0.0004 0.0028
12/17/2004 34.95252 6346.48 -0.0118 -0.0116
12/20/2004 35.0471 6403 0.0027 0.0089
12/21/2004 35.34972 6451.3 0.0086 0.0075
12/22/2004 35.25515 6413.66 -0.0027 -0.0059
12/23/2004 35.0471 6441.85 -0.0059 0.0044
12/27/2004 34.92731 6513.03 -0.0034 0.0110
12/28/2004 34.95252 6563.48 0.0007 0.0077
12/29/2004 34.82644 6567.94 -0.0036 0.0007
12/30/2004 34.95882 6522.54 0.0038 -0.0069
12/31/2004 34.72556 6602.69 -0.0067 0.0122
1/3/2005 34.79492 6679.2 0.0020 0.0115
1/4/2005 34.3599 6651.01 -0.0126 -0.0042
1/5/2005 34.71926 6458.84 0.0104 -0.0293
1/6/2005 34.88949 6367.39 0.0049 -0.0143
1/7/2005 35.25515 6420.46 0.0104 0.0083
1/10/2005 35.53254 6308.54 0.0078 -0.0176
1/11/2005 35.49472 6222.87 -0.0011 -0.0137
1/12/2005 35.62711 6102.74 0.0037 -0.0195
1/13/2005 35.00925 6221.06 -0.0175 0.0192
1/14/2005 35.22993 6173.82 0.0063 -0.0076
1/18/2005 35.29927 6192.35 0.0020 0.0030
1/19/2005 35.89457 6173.32 0.0167 -0.0031
1/20/2005 35.90724 6183.24 0.0004 0.0016 Abnormal return AR-TEST Sign
1/24/2005 34.96363 6106.43 -0.0266 -0.0125 -0.0278 -2.933187 S
1/25/2005 35.29294 6162.98 0.0094 0.0092 0.0091 0.962011 NS
1/27/2005 35.0333 6239.43 -0.0074 0.0123 -0.0075 -0.793459 NS
1/28/2005 34.29237 6419.09 -0.0214 0.0284 -0.0208 -2.200558 S
1/31/2005 33.70974 6555.94 -0.0171 0.0211 -0.0169 -1.78471 NS
2/1/2005 33.48175 6552.47 -0.0068 -0.0005 -0.0074 -0.786349 NS
2/2/2005 33.8174 6530.06 0.0100 -0.0034 0.0092 0.97038 NS
CumulativeAR_P&G
-0.0278
-0.0187
-0.0262
-0.0470
-0.0639
-0.0714
-0.0622
Regresion Statistics
Alpha -0.000562
Beta 0.55315
Standard error 0.017578
R-squared 0.202348

Gillette Index G_R I_R

1/27/2004 592.0491 5993.06
1/28/2004 586.6649 5876.05 -0.009136 -0.019717
1/29/2004 585.8842 5802.75 -0.001332 -0.012553
1/30/2004 582.966 5695.67 -0.004993 -0.018626
2/3/2004 531.8372 5620.98 -0.091792 -0.0132
2/4/2004 530.1521 5756.76 -0.003173 0.023869
2/5/2004 531.8782 5720.63 0.003251 -0.006296
2/6/2004 535.1663 5786.35 0.006163 0.011423
2/9/2004 540.1807 5926.22 0.009326 0.023885
2/10/2004 546.5922 5932.52 0.011799 0.001062
2/11/2004 540.2218 5949.78 -0.011723 0.002905
2/12/2004 539.5229 5936.96 -0.001294 -0.002157
2/13/2004 553.1684 6011.66 0.024977 0.012504
2/17/2004 549.1815 6035.8 -0.007234 0.004007
2/18/2004 546.1402 6027.02 -0.005553 -0.001456
2/19/2004 537.879 5855.1 -0.015242 -0.02894
2/20/2004 534.4266 5850.72 -0.006439 -0.000748
2/23/2004 523.4526 5698.04 -0.020748 -0.026443
2/24/2004 516.137 5734.44 -0.014074 0.006368
2/25/2004 522.8362 5618.15 0.012896 -0.020488
2/26/2004 517.2878 5567.12 -0.010669 -0.009125
2/27/2004 524.8502 5667.51 0.014513 0.017872
3/1/2004 521.8088 5823.17 -0.005812 0.027095
3/3/2004 506.9305 5842.2 -0.028927 0.003263
3/4/2004 503.1903 5815.87 -0.007405 -0.004517
3/5/2004 514.4108 5880.35 0.022054 0.011026
3/8/2004 507.8347 5935.19 -0.012866 0.009283
3/9/2004 496.4088 5850.61 -0.022756 -0.014353
3/10/2004 496.1211 5759.29 -0.00058 -0.015732
3/11/2004 488.8874 5649.86 -0.014688 -0.019183
3/12/2004 488.1477 5700.4 -0.001514 0.008906
3/15/2004 493.0796 5520.66 0.010053 -0.032039
3/16/2004 477.3382 5525.09 -0.032445 0.000802
3/17/2004 474.4201 5535.69 -0.006132 0.001917
3/18/2004 470.8444 5414.94 -0.007565 -0.022054
3/19/2004 466.5288 5443.44 -0.009208 0.005249
3/22/2004 440.9236 5365.4 -0.056448 -0.01444
3/23/2004 436.7313 5400.99 -0.009553 0.006611
3/24/2004 425.3466 5395.28 -0.026414 -0.001058
3/25/2004 414.5782 5414.44 -0.025643 0.003545
3/26/2004 414.3728 5528.94 -0.000496 0.020927
3/29/2004 411.7423 5571.37 -0.006368 0.007645
3/30/2004 414.8248 5520.44 0.007458 -0.009183
3/31/2004 424.6478 5590.6 0.023404 0.012629
4/1/2004 442.8141 5740.85 0.04189 0.026521
4/2/2004 450.3354 5788.08 0.016843 0.008193
4/5/2004 468.4196 5838.02 0.039372 0.008591
4/6/2004 459.5008 5822.42 -0.019224 -0.002676
4/7/2004 452.3905 5815.13 -0.015595 -0.001253
4/8/2004 456.8292 5838.45 0.009764 0.004002
4/12/2004 469.365 5783.79 0.027071 -0.009406
4/13/2004 466.2824 5904.52 -0.006589 0.020659
4/15/2004 458.6788 5843.97 -0.016441 -0.010308
4/16/2004 463.4464 5862.82 0.010341 0.00322
4/19/2004 478.078 5800.54 0.031083 -0.01068
4/20/2004 473.7625 5804.81 -0.009068 0.000736
4/21/2004 473.9294 5876.42 0.000352 0.012261
4/22/2004 464.2515 5924.18 -0.020632 0.008095
4/23/2004 470.8843 5925.58 0.014186 0.000236
4/27/2004 460.2051 5712.28 -0.02294 -0.03666
4/28/2004 455.533 5713.09 -0.010204 0.000142
4/29/2004 456.409 5668.43 0.001921 -0.007848
4/30/2004 482.6479 5655.09 0.055898 -0.002356
5/3/2004 510.1383 5584.99 0.055394 -0.012473
5/4/2004 550.1018 5647.15 0.075422 0.011068
5/5/2004 529.0355 5686.19 -0.039048 0.006889
5/6/2004 531.9556 5757.3 0.005504 0.012428
5/7/2004 518.2729 5669.58 -0.026058 -0.015354
5/10/2004 531.2882 5555.84 0.024803 -0.020265
5/11/2004 515.6865 5325.9 -0.029806 -0.042268
5/12/2004 510.0967 5358.35 -0.010899 0.006074
5/13/2004 519.8165 5399.47 0.018875 0.007645
5/14/2004 484.4419 5069.87 -0.070478 -0.062986
5/17/2004 455.4912 4505.16 -0.061621 -0.118092
5/18/2004 471.5516 4877.02 0.034652 0.079311
5/19/2004 469.1322 5006.1 -0.005144 0.026123
5/20/2004 472.803 4932.11 0.007794 -0.01489
5/21/2004 473.9294 4961.57 0.002379 0.005955
5/24/2004 504.048 5123.23 0.061613 0.032063
5/25/2004 498.7501 5102.22 -0.010566 -0.004109
5/26/2004 496.8312 5081.95 -0.003855 -0.003981
5/27/2004 492.618 5058.55 -0.008516 -0.004615
5/28/2004 474.0545 4835.39 -0.038412 -0.045118
6/1/2004 469.2572 4835.12 -0.010171 -5.58E-05
6/2/2004 472.5529 4923.69 0.006999 0.018152
6/3/2004 463.292 4817.99 -0.019792 -0.021701
6/4/2004 473.1368 4889 0.021027 0.014631
6/7/2004 474.9723 4938.15 0.003872 0.010003
6/8/2004 471.3848 4962.63 -0.007582 0.004945
 6/9/2004 475.3895 4963.75 0.00846 0.000226
6/10/2004 475.4312 4944.64 8.762E-05 -0.003857
6/14/2004 468.8401 4746.01 -0.01396 -0.041
6/15/2004 474.5968 4814.85 0.012204 0.014401
6/16/2004 474.6386 4788.8 8.809E-05 -0.005425
6/17/2004 473.0951 4839.88 -0.003257 0.01061
6/18/2004 476.4323 4769.99 0.007029 -0.014546
6/21/2004 473.4706 4738.62 -0.006236 -0.006598
6/22/2004 467.5887 4735.86 -0.012501 -0.000583
6/23/2004 460.6222 4644 -0.015011 -0.019587
6/24/2004 463.3336 4708.55 0.005869 0.013804
6/25/2004 465.7533 4756.39 0.005209 0.010109
6/28/2004 472.3024 4837.6 0.013963 0.01693
6/29/2004 470.7174 4841.38 -0.003362 0.000781
6/30/2004 468.5481 4795.46 -0.004619 -0.00953
7/1/2004 475.6816 4874.05 0.01511 0.016256
7/2/2004 471.4265 4870.58 -0.008986 -0.000712
7/6/2004 479.436 4928.59 0.016847 0.01184
7/7/2004 482.6479 4955.97 0.006677 0.00554
7/8/2004 465.7533 4843.84 -0.035631 -0.022885
7/9/2004 467.1298 4945.48 0.002951 0.020766
7/12/2004 473.7625 4944.54 0.014099 -0.00019
7/13/2004 473.9711 4898.99 0.00044 -0.009255
7/14/2004 464.7103 4848.3 -0.019732 -0.010401
7/15/2004 469.883 4888.19 0.01107 0.008194
7/16/2004 474.9306 4951.17 0.010685 0.012802
7/19/2004 480.437 4975.4 0.011527 0.004882
7/20/2004 479.269 4957.88 -0.002434 -0.003528
7/21/2004 488.2379 4993.76 0.018541 0.007211
7/22/2004 500.2935 5054.29 0.024392 0.012048
7/23/2004 499.5844 5073.34 -0.001419 0.003762
7/26/2004 504.1732 5118.17 0.009143 0.008798
7/27/2004 502.2125 5075.88 -0.003897 -0.008297
7/28/2004 497.415 5070.29 -0.009599 -0.001102
7/29/2004 484.5252 5120.45 -0.026255 0.009844
7/30/2004 480.5205 5170.32 -0.008299 0.009692
8/2/2004 474.8056 5202.53 -0.011965 0.00621
8/3/2004 475.3477 5194.63 0.001141 -0.00152
8/4/2004 469.9247 5169.07 -0.011474 -0.004933
8/5/2004 469.5494 5252.78 -0.000799 0.016065
8/6/2004 468.2562 5196.99 -0.002758 -0.010678
8/9/2004 466.6709 5233.21 -0.003391 0.006945
8/10/2004 463.2086 5252.05 -0.007447 0.003594
8/11/2004 455.0324 5175.16 -0.017809 -0.014748
8/12/2004 461.9154 5139.77 0.015013 -0.006862
8/13/2004 463.4171 5102.92 0.003246 -0.007195
8/16/2004 466.4624 5102.37 0.00655 -0.000108
8/17/2004 464.1263 5102.94 -0.005021 0.000112
 8/18/2004 463.9177 5038.28 -0.000449 -0.012752
8/19/2004 461.3313 5123.65 -0.005591 0.016802
8/20/2004 461.3313 5064.66 0 -0.01158
8/23/2004 459.9964 5033.69 -0.002898 -0.006134
8/24/2004 455.1574 5067.39 -0.010575 0.006673
8/25/2004 464.7937 5088.56 0.02095 0.004169
8/26/2004 466.8795 5135.45 0.004478 0.009173
8/27/2004 494.5787 5117.01 0.057635 -0.003597
8/30/2004 490.9911 5186.45 -0.00728 0.013479
8/31/2004 484.6919 5192.08 -0.012912 0.001085
9/1/2004 492.618 5210.85 0.016221 0.003609
9/2/2004 493.9529 5198.72 0.002706 -0.002331
9/3/2004 486.0685 5218.46 -0.01609 0.00379
9/7/2004 484.1496 5264.67 -0.003956 0.008816
9/8/2004 485.7349 5298.16 0.003269 0.006341
9/9/2004 483.9412 5298.23 -0.0037 1.318E-05
9/10/2004 486.4857 5370.05 0.005244 0.013464
9/13/2004 505.1327 5397.46 0.037614 0.005091
9/14/2004 507.6354 5428.77 0.004942 0.005784
9/15/2004 504.8824 5420.09 -0.005438 -0.0016
9/16/2004 511.223 5477.68 0.01248 0.010569
9/17/2004 507.9691 5561.15 -0.006385 0.015123
9/20/2004 501.5451 5545.82 -0.012727 -0.00276
9/21/2004 500.7943 5605.93 -0.001498 0.010781
9/22/2004 506.0086 5616.87 0.010358 0.00195
9/23/2004 500.1685 5539.48 -0.011609 -0.013874
9/24/2004 494.0363 5527.75 -0.012336 -0.00212
9/27/2004 490.2402 5511.81 -0.007713 -0.002888
9/28/2004 489.4893 5462.61 -0.001533 -0.008966
9/29/2004 491.2831 5527.56 0.003658 0.01182
9/30/2004 485.0257 5583.61 -0.012819 0.010089
10/1/2004 491.2831 5675.54 0.012819 0.01633
10/4/2004 487.9876 5766.3 -0.006731 0.015865
10/5/2004 490.2819 5758.67 0.00469 -0.001324
10/6/2004 486.7778 5713.75 -0.007173 -0.007831
10/7/2004 484.5252 5773.66 -0.004638 0.010431
10/8/2004 486.5692 5776.85 0.00421 0.000552
10/11/2004 488.7801 5717.54 0.004533 -0.01032
10/12/2004 481.3132 5676.73 -0.015394 -0.007163
10/14/2004 480.9378 5713.1 -0.00078 0.006386
10/15/2004 495.7466 5686.73 0.030327 -0.004626
10/18/2004 478.1009 5679.83 -0.036243 -0.001214
10/19/2004 482.5646 5738.11 0.009293 0.010209
10/20/2004 480.5622 5673.02 -0.004158 -0.011408
10/21/2004 477.1832 5641.06 -0.007056 -0.00565
10/25/2004 476.0568 5581.49 -0.002363 -0.010616
10/26/2004 481.7719 5651.09 0.011934 0.012393
10/27/2004 483.7326 5662.87 0.004061 0.002082
10/28/2004 476.2655 5715.62 -0.015557 0.009272
10/29/2004 467.4218 5672.27 -0.018743 -0.007613
11/1/2004 461.2478 5704.1 -0.013297 0.005596
11/2/2004 472.3859 5754.76 0.023861 0.008842
11/3/2004 473.8043 5842.54 0.002998 0.015138
11/4/2004 479.853 5832.88 0.012686 -0.001655
11/5/2004 480.5205 5891.36 0.00139 0.009976
11/8/2004 480.729 5930.47 0.000434 0.006617
11/9/2004 483.8994 5929.6 0.006573 -0.000147
11/10/2004 487.5287 5973.75 0.007472 0.007418
11/11/2004 499.8764 5954.31 0.025012 -0.00326
11/12/2004 501.2113 5964.01 0.002667 0.001628
11/16/2004 498.3746 5996.7 -0.005676 0.005466
11/17/2004 504.3401 6016.58 0.011899 0.00331
11/18/2004 518.6483 6025.47 0.027975 0.001477
11/19/2004 525.9904 5961.71 0.014057 -0.010638
11/22/2004 534.0832 5963.8 0.015269 0.00035
11/23/2004 545.2213 6009.86 0.02064 0.007694
11/24/2004 540.7993 6035.95 -0.008144 0.004332
11/29/2004 542.0927 6157.77 0.002389 0.019981
11/30/2004 529.7448 6234.29 -0.023042 0.01235
12/1/2004 522.7365 6227.83 -0.013318 -0.001037
12/2/2004 537.2535 6328.43 0.027393 0.016024
12/3/2004 537.629 6322.76 0.000699 -0.000896
12/6/2004 527.492 6322.5 -0.019035 -4.11E-05
12/7/2004 518.5651 6316.28 -0.017068 -0.000984
12/8/2004 517.6472 6261.52 -0.001772 -0.008707
12/9/2004 515.8953 6304.27 -0.00339 0.006804
12/10/2004 520.6091 6233.54 0.009096 -0.011283
12/13/2004 522.4027 6268.72 0.003439 0.005628
12/14/2004 522.0273 6325.53 -0.000719 0.009022
12/15/2004 531.7471 6402.29 0.018448 0.012062
12/16/2004 528.7435 6420.38 -0.005665 0.002822
12/17/2004 525.8235 6346.48 -0.005538 -0.011577
12/20/2004 537.0866 6403 0.021194 0.008866
12/21/2004 542.301 6451.3 0.009662 0.007515
12/22/2004 537.2952 6413.66 -0.009274 -0.005852
12/23/2004 543.1356 6441.85 0.010811 0.004386
12/27/2004 574.8392 6513.03 0.056731 0.010989
12/28/2004 573.9214 6563.48 -0.001598 0.007716
12/29/2004 566.8298 6567.94 -0.012433 0.000679
12/30/2004 560.489 6522.54 -0.011249 -0.006936
12/31/2004 564.9526 6602.69 0.007932 0.012213
1/3/2005 575.5483 6679.2 0.018581 0.011521
1/4/2005 583.2658 6651.01 0.01332 -0.00423
1/5/2005 578.3015 6458.84 -0.008548 -0.029319
1/6/2005 559.8217 6367.39 -0.032477 -0.01426
1/7/2005 564.4103 6420.46 0.008163 0.0083
1/10/2005 557.3185 6308.54 -0.012644 -0.017585
1/11/2005 550.7694 6222.87 -0.011821 -0.013673
1/12/2005 533.1653 6102.74 -0.032485 -0.019493
1/13/2005 535.0843 6221.06 0.003593 0.019202
1/14/2005 534.3752 6173.82 -0.001326 -0.007623
1/18/2005 524.7388 6192.35 -0.018198 0.002997
1/19/2005 522.4443 6173.32 -0.004382 -0.003078
1/20/2005 526.3657 6183.24 0.007478 0.001606 Abnormal return AR_TEST Sign CumulativeAR_P&G
1/24/2005 526.0319 6106.43 -0.000634 -0.0125 0.00684 0.389241 NS 0.0068
1/25/2005 524.4053 6162.98 -0.003097 0.009218 -0.00763 -0.434293 NS -0.0008
1/27/2005 524.0297 6239.43 -0.000717 0.012328 -0.00697 -0.396742 NS -0.0078
1/28/2005 560.9896 6419.09 0.068154 0.028387 0.05301 3.015863 S 0.0452
1/31/2005 566.6212 6555.94 0.009989 0.021095 -0.00112 -0.063606 NS 0.0441
2/1/2005 564.744 6552.47 -0.003319 -0.000529 -0.00246 -0.14016 NS 0.0417
2/2/2005 568.6652 6530.06 0.006919 -0.003426 0.00938 0.533416 NS 0.0510
CumulativeAR_P&G
 Mkt. Cap (Billion $)
P&G 150
G 50

Abnormal return Cumulative AR Cumulative Value

Date P&G G P&G G P&G G Sum
1/24/2005 -0.02779 0.00684 -0.02779 0.00684 -4.168049 0.34211 -3.825942
1/25/2005 0.00911 -0.00763 -0.01867 -0.00079 -2.801035 -0.03960 -2.840632
1/27/2005 -0.00752 -0.00697 -0.02619 -0.00777 -3.928538 -0.38830 -4.316835
1/28/2005 -0.02085 0.05301 -0.04704 0.04525 -7.055523 2.26238 -4.793148
1/31/2005 -0.01691 -0.00112 -0.06394 0.04413 -9.59159 2.20647 -7.385119
2/1/2005 -0.00745 -0.00246 -0.07139 0.04167 -10.70899 2.08328 -8.625706
2/2/2005 0.00919 0.00938 -0.06220 0.05104 -9.330084 2.55211 -6.777976