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I am doing an academic research in behavioral finance and I need to calculate my abnormal return based on the normalized returns of the stock exchange index being the S&P 500. In other words, I have the daily return for the S&P 500, I need to find the normalized daily return of the S&P 500.

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  • $\begingroup$ do you have a definition of 'normalized return'? it's not a standard measurement $\endgroup$ – Chris Jul 24 at 21:00
  • $\begingroup$ I suppose you can call them "standardized returns" $\endgroup$ – Alessio_110 Jul 24 at 22:25
  • $\begingroup$ traditionally you normalize a dataset by taking individual values, subtracting the mean and then dividing by the standard deviation. the result are in effect Z-scores. this isn't really something that's done often though, and given what you describe you're trying to do, it sounds like a bit of an unusual application. $\endgroup$ – Chris Jul 24 at 22:36
  • $\begingroup$ Well, you can do it when your dataset is not normalized? My dataset is a time-series so that procedure does not apply for it. do you have any other suggestion? $\endgroup$ – Alessio_110 Aug 4 at 19:11

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