Dear community,
in my master thesis, I am analyzing German IPOs since 2000 and whether these IPOs over- or underperformed compared to a benchmark index (e.g. the German Dax). To do so, I want to calculate Cumulative Abnormal Returns and Buy and Hold Abnormal Returns for a period of e.g. 3 years (36 months) after each firms IPO. This methodology is in line with Ritter (1991).
Is the eventstudy2 package suitable to do such analysis? I am not sure, since there is obviously no data available pre IPO.
If so, how would I have to specify eventstudy2 to do my analysis?
Thanks,
Tobias
in my master thesis, I am analyzing German IPOs since 2000 and whether these IPOs over- or underperformed compared to a benchmark index (e.g. the German Dax). To do so, I want to calculate Cumulative Abnormal Returns and Buy and Hold Abnormal Returns for a period of e.g. 3 years (36 months) after each firms IPO. This methodology is in line with Ritter (1991).
Is the eventstudy2 package suitable to do such analysis? I am not sure, since there is obviously no data available pre IPO.
If so, how would I have to specify eventstudy2 to do my analysis?
Thanks,
Tobias
