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I am about to run a long-run event study on certain events. For a short-term event study, I previously have used daily log returns. My question is now, what data I need for the BHAR one. Just monthly non-log returns or also daily returns?

Example: My event is on 15th December 2017 with a window of (-1;+12) months. Do I have to go back 30 days, then calculate the monthly return until 15th December and so forth for 12 months or how can I implement that in real life?

Many thanks for any hints.

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This paper illustrates your problem. Basically, it depends on the volatility of prices.

S. P Khotari and Jerold B. Warner : “Econometrics of Event Studies” (2006)

https://www.bu.edu/econ/files/2011/01/KothariWarner2.pdf

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  • $\begingroup$ Many thanks for that. So in general, monthly returns are used? Am I right with the assumption that -30 days and + 360 days is fine? $\endgroup$
    – dasanicola
    Jun 10, 2019 at 14:22
  • $\begingroup$ Yes, monthly smooths out a lot of the daily noise thus it is better for longer term. Your period is a fair assumption, but I would also check -60and -90. For instance, in Fixed Income -90 is usually when things start to happen. Therefore, it ultimately depends also on the event itself and the asset class. $\endgroup$
    – Vitomir
    Jun 11, 2019 at 7:47

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