I need to calculate peer-adjusted BHARs to measure long-run performance effects. Peer firms with similar market capitalization and equity's book-to-market ratio perform well in randomized samples.
For each loan-announcing firm, I need to select a peer firm that resembles the sample firm except for the announcement of loan financing. I need to compute each firm's subsequent holding period return (HPR) as
HPRi = (∏Ti t=1 (1+Rit) - 1 ] X 100%,
where Rit is the rth firm's stock return on the rth day, and Ti is the number of trading days in the three-year period following the loan announcement.
In my data, "sprtrn" (Return on the S & P) represents Rit. How can I write the STATA code to calculate HPRi?
After calculating HPR for each sample firm and for its matching firm, I need to evaluate the difference, a stylized investor's BHAR as follows: How can I write the STATA code to calculate BHAR?
BHAR = HPREvent - HPRPeer
I used the following code. But it does not align with the above formula. How can I fix it?
egen firm=group(permno)
gen date=substr(date,1,4)
gen day=20 gen
tempdate = date
gen date2 = date(date,"YMD")
format date2 %td
drop year month day tempdate
gen month=mofd(date2)
xtset firm date
gen adj_it = ret - sprtrn
gen compound = (1 + adj_it) * (1 + l.adj_it)
forvalues i=2/11 {
replace compound = compound * (1 + l`i'.adj_it)
}
gen bhar = compound - 1
drop compound
For each loan-announcing firm, I need to select a peer firm that resembles the sample firm except for the announcement of loan financing. I need to compute each firm's subsequent holding period return (HPR) as
HPRi = (∏Ti t=1 (1+Rit) - 1 ] X 100%,
where Rit is the rth firm's stock return on the rth day, and Ti is the number of trading days in the three-year period following the loan announcement.
In my data, "sprtrn" (Return on the S & P) represents Rit. How can I write the STATA code to calculate HPRi?
After calculating HPR for each sample firm and for its matching firm, I need to evaluate the difference, a stylized investor's BHAR as follows: How can I write the STATA code to calculate BHAR?
BHAR = HPREvent - HPRPeer
I used the following code. But it does not align with the above formula. How can I fix it?
egen firm=group(permno)
gen date=substr(date,1,4)
gen day=20 gen
tempdate = date
gen date2 = date(date,"YMD")
format date2 %td
drop year month day tempdate
gen month=mofd(date2)
xtset firm date
gen adj_it = ret - sprtrn
gen compound = (1 + adj_it) * (1 + l.adj_it)
forvalues i=2/11 {
replace compound = compound * (1 + l`i'.adj_it)
}
gen bhar = compound - 1
drop compound