Hello everyone, hope you are doing well. I wanted to know how I could code for Buy and hold abnormal returns.
The formula for the same is Buy-and-Hold Abnormal Return (BHAR): 𝐵𝐻𝐴𝑅𝑖𝑡 = ∏ (1 + 𝑅𝑖𝑡 ) − ∏ (1 + 𝐸(𝑅𝑖𝑡))
I have to calculate the daily compounding of the returns until the end of the month from the IPO date of the company and then compounding of 36 monthly returns after that.
Considering I have the dataset I need for the same, how could I use Stata commands to get the BHAR calculation.