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.