Statistical problem with stock returns

Okay so basically I have some data sets for an estimation period(Jan 2006 to Jan 2008), for which I obtained the alpha and beta parameters based on a company X’s risk and return dynamics with the general market. The company then decided to acquire another company on July 12th 2008. Using company X’s alpha and beta, I obtained the expected returns of company X for a 5 day window, July 10th 2008 to July 15th 2008. Deducting the expected returns from company X’s actual returns during these 5 days I obtained some negative adjusted returns. However, how should I test if the negative returns of company X is due to the merger and not due to the normal variations of company X’s stock?