Which Method should I use to calculate the r² for an event study ?

#1
Dear all,

I am working on event study using Excel and I noticed that some people calculate the r² before the event window so during the estimation period and some calculate the r² during the event window. Same for the intercept, slope and standard error.

What do you think, should I caculate them during the estimation period or during the event window ?

And can I calculate both, explaining for example that during the estimation period X% of the variance of a stock can be explained by the variance of the index, and then during the event window my r² is more important than during the estimation period, which will mean that my event has an impact on the stock ?

Thanks a lot for your help.

Inès