Hi everyone,
I would like to compute the average abnormal return (AAR) and average cumulative abnormal return (CAAR) for a set of 1102 different stocks. I calculated AR and CAR through the methodology of the event study as described here " http://dss.princeton.edu/online_help...ventstudy.html ".
On the website: " http://www.eventstudytools.com/significance-tests#Csect ", AAR are computed as AAR(t) = (1/N) [N∑i=1]AR(i,t). The CAAR is simply the aggregation of these AAR. I cannot think of a way to write the program for the AAR, since if for instance I am considering a -3;+3 event window, I should have at time -3 a single AAR for ALL stocks, at time -2 a different AAR for ALL stocks and so on.
Do you guys know how to manage this?
Thanks
I would like to compute the average abnormal return (AAR) and average cumulative abnormal return (CAAR) for a set of 1102 different stocks. I calculated AR and CAR through the methodology of the event study as described here " http://dss.princeton.edu/online_help...ventstudy.html ".
On the website: " http://www.eventstudytools.com/significance-tests#Csect ", AAR are computed as AAR(t) = (1/N) [N∑i=1]AR(i,t). The CAAR is simply the aggregation of these AAR. I cannot think of a way to write the program for the AAR, since if for instance I am considering a -3;+3 event window, I should have at time -3 a single AAR for ALL stocks, at time -2 a different AAR for ALL stocks and so on.
Do you guys know how to manage this?
Thanks
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