A merger as a known cointegrating vector

On 4 Apr 2022 the boards of HDFC and HDFC Bank approved a merger at 42 HDFC Bank shares per 25 HDFC shares. Reported closes that day: HDFC ₹2,678.90, HDFC Bank ₹1,656.45. (a) Write the cointegrating vector in log prices implied by the swap. (b) Compute the value of 25 HDFC shares' worth of HDFC Bank per HDFC share, the gross spread in percent and in log points. (c) The last trading day of HDFC turned out to be 12 Jul 2023. Annualise the gross spread over the realised holding period (ignore dividends and financing). Why is this not the return a trader could have expected on 4 Apr 2022? (See M06A for pricing the deal risk.)