Oct 22, 2021 · For the $\text{BHAR}$ (Buy-and-Hold Abnormal Returns) formula, I just want to clarify the formula is that always compare with the first month trading price, or is compared with last month trading price?

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Jun 16, 2019 · E.g., when computing BHAR of US Corporates around a certain event, I can use the simple returns of the Dow ...

Jun 10, 2019 · I am about to run a long-run event study on certain events. For a short-term event study, I previously have used daily log returns. My question is now, what data I need for the BHAR one. Just monthly non-log returns or also daily returns? Example: My event is on 15th December 2017 with a window of (-1;+12) months.

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Apr 3, 2019 · I am running a single variable regression with BHAR returns as independent variable and Leverage as dependent variable. I would like to analyse does the leverage 1 year prior to IPO and 1 year after the IPO have correlation with BHAR returns. What is the best way to do this? Running two different regressions or what

Jul 13, 2017 · Event Study t-test finding degrees of freedom for CAR and BHAR Hot Network Questions Is a 40 amp breaker acceptable to use for an induction range that has a kW rating of 11.4 kW @ 240V?

May 13, 2018 · $\begingroup$ In event studies on share repurchases it is common use to elude firms from the sample having an additional event in the event day 0.

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For a very short answer, given that the event is scheduled, the implied vol for a fixed future expiry date decreases, and the historical volality increases at event time.