# Questions tagged [abnormal-returns]

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### Should I include factor loadings as explanatory variables for regression of abnormal and raw returns?

My research is to explain stock returns in a regression model. My dependent variable is raw returns and abnormal returns calculated from 3-factor model (Fama and French). Besides regressing against my ...
• 66
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### Can subcomponents of a variable be used as instrumental variable?

I conduct research to assess the relevance of ESG scores on COVID-19 crisis stock returns. To calculate abnormal returns I use time series, but the investigation is actually cross section returns at ...
• 66
1 vote
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### State-of-the art factor models for intraday event studies

I want to do intraday event studies. For this purpose, I have stock data on a 15 minutes interval. What is/are currently the state-of-the art factor model(s) for calculating intraday (ab)normal ...
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### Factors affecting magnitude of responsiveness to acquisition announcements?

I have a dataset of stock returns immediately following rumors of or confirmations of acquisitions. It is clear that either the stock does not react, or the stock experiences a strong positive return ...
• 1,347
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### Computing Buy-and-hold abnormal returns (BHARs) $= \prod_{t=\tau_1}^{\tau_2}(1+R_{i,t}) - \prod_{t=\tau_1}^{\tau_2}(1+R_{m,t})$

I am doing an event study and wanted to know if was going about this correctly$$\text{BHAR}_{i(\tau_1,\tau_2)}\quad=\quad\prod_{t=\tau_1}^{\tau_2}(1+R_{i,t})~-~\prod_{t=\tau_1}^{\tau_2}(1+R_{m,t})$$ ...
• 287
1 vote