event study

Hi everyone, i am doing my dissertation and using Buy and Hold Abnormal Return to evaluate IPOs performance. The formula is BHARi,h = ∏t=1h(1+Ri,t)−∏t=1h(1+Rm,t) Here is a set of data, how can I calculate the correct BHAR in (1+Ri,t)? month share price 0 21.5 1...

Hi! For our master thesis, me and my partner want to construct an event study, but the packages "estudy2" & "eventstudy" does not seem to get around with some aspects. I wonder if there are someone out here on this forum that could help get around those issues. We are struggeling quite as lot...

Hi I am doing an event study and my null hypothesis is CAAR=0 and alternative is CAAR does not equal 0 (2 tailed t-test). CAAR is cumulative average abnormal returns. Can a two tailed test be used to give directional conclusions, e.g. if the CAAR value is 1.5% and is statistically significant at...

Hello to all :) First of all sorry for my poor english. I am sadly not a native english speaker. Right now I am doing an event-study for my thesis. It focuses on the impact of the ECB on the german stock market. I found many different approaches but the approach to use the GMM seems to be...

Hi all, I run 12 regressions on the bid premium in a Event Study. For the first 7 regressions, when adding the explanatory variables (after the control variables for the first regression), the constant or intercept stays insignificant and explains less after adding the variables. But from...

Hi all, I am conducting an event study, analyzing how social media posts are affecting stock prices. Is it statistically allowed to have a different number of observations per event window? E.g. to have in event window [0;1] 120 observations for which the abnormal returns are analyzed...

I am performing an event study using the market model theory. Rit = αi + βiRmt + εit With Abnormal Returns(AR) ARiτ = Riτ − αi − βiRmτ. So to test the significance of the Cumulative Abnormal Return's(CAR's), one must calculate the variance of the aggregated AR's across firms and then sum...

Normally, in an stock price event study, we assume that the daily variance in the estimation period is the same as that during the event window. The event-induced volatility literature (eg, Boehmer, 1991; Brown, Warner 1985) suggests that when an event induces higher volatility, then the...

Dear all, I have a question regarding the plausability of my CAR(2;366)=-40%. My tutor (in accounting, not statistics) claims that it should lie in the interval of +-10% to be reasonable. He has been wrong before in matters of statistics so I registered an account here to ask the perhaps...

Dear All, I am new to this forum, but I am trying to become more and more specified in statistics for my Master Thesis (Erasmus University Rotterdam, Netherlands) Enough intro, my problem is the regression of my sample. I calculated Cumulative Abnormal Returns for 5 event windows, and I...