abnormal returns

  1. C

    How to calculate Buy and Hold Abnormal Return?

    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...
  2. J

    Event Study: T-Stat for Cumulative Abnormal Returns

    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...