# event study

1. ### 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. ### estudy2 & eventstudy cant offer me what I want

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...
3. ### Thesis Help Request - Hypothesis Testing

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...
4. ### Generalized method of moments/identification through heteroscedasticity

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...
5. ### HELP my intercept becomes significant

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...
6. ### Event study - varying sample size per event window allowed?

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...
7. ### 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...
8. ### Finance Event Study - Event Induced Volatility

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...
9. ### Plausability of my Cumulative Abnormal Returns

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...
10. ### CARs from small sample(26): Which Regression is the best to perform?

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...