Dear all,
I currently have one dataset with IPO data for a specific sample of firms and sample period. Among these data I have the lockup expiration dates and I want to calculate cumulative abnormal returns for a time frame 3 days before and 3 days after. I have obtained the returns from CRSP and currently have them in another dataset. Nevertheless I have thousands of returns for each firm covering the whole sample period while I only need the returns from t=-3 to t=+3. So I want to ask how I can merge the two datasets keeping only the returns I am interested in (the ones around the lockup expiration dates).
Thank you in advance
I currently have one dataset with IPO data for a specific sample of firms and sample period. Among these data I have the lockup expiration dates and I want to calculate cumulative abnormal returns for a time frame 3 days before and 3 days after. I have obtained the returns from CRSP and currently have them in another dataset. Nevertheless I have thousands of returns for each firm covering the whole sample period while I only need the returns from t=-3 to t=+3. So I want to ask how I can merge the two datasets keeping only the returns I am interested in (the ones around the lockup expiration dates).
Thank you in advance
Comment