Dear all,

I am currently working on a research project where I am doing an event study on the effect of a legislative process on the return of stock listed firms. The problem that I am facing right now is that I have four events within my event window. On top of that I have two events being very close to each other (within four days). t = 0 of the first event is 100 days prior to t = 0 of the fourth event. For each event I would like to look at the event window [-5;+5].

I am having trouble on how to correctly calculate the CAR (cumulated abnormal return) of each individual firm. Do I have to calculate first the AR (abnormal return) of each event within the event window (from [-5;+5]) and then add the AR of the four events together and divide them by four again?

This is an excerpt of the times up to the four events:

Code:
time_event1 time_event2 time_event3 time_event4
… … … …
-12 -16 -98 -112
-11 -15 -97 -111
-10 -14 -96 -110
-9 -13 -95 -109
-8 -12 -94 -108
-7 -11 -93 -107
-6 -10 -92 -106
-5 -9 -91 -105
-4 -8 -90 -104
-3 -7 -89 -103
-2 -6 -88 -102
-1 -5 -87 -101
0 -4 -86 -100
1 -3 -85 -99
2 -2 -84 -98
3 -1 -83 -97
4 0 -82 -96
5 1 -81 -95
6 2 -80 -94
7 3 -79 -93
8 4 -78 -92
9 5 -77 -91
10 6 -76 -90
11 7 -75 -89
12 8 -74 -88
13 9 -73 -87
14 10 -72 -86
… … … …
Thank you very much in advance. Any help is greatly appreciated.

Regards,
Jane