How to calculate Buy and Hold Abnormal Return?

#1
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 22
2 21.7
3 19.5
4 15.6
5 14.9
6 14.5
7 12.1
8 9.7
9 9
10 14.2
11 19
 

Attachments