Hello everyone,
I am in the process of writing my master thesis and for each of the over 200 firms I am conducting a BAHR analysis for, I collected the following data so far:
1. Date of IPO
2. Market Cap at day of IPO
3. Monthly returns for 36 month post IPO
As benchmarks I am using the New York Stock exchange, Nasdaq and the Dow Jones U.S. Health Care Index.
I am planing on using R and would like to know, how and at which point I need to assign the value weight (depending on each firm's market capitalization on the day of the IPO)
Thank you very much,
Sebastian
You may want to check the following paper out:
Long-run returns following open market share repurchases
WJ McNally, BF Smith - Journal of Banking & Finance, 2007 - Elsevier
Hello Sebastian,
I have done the same BAHR analysis using Stata and Microsoft excel program. I am not familier with R.
In Stata there are specific codes to calculate BHAR. At the final step we can multiply BHAR by the weight.
Further, I would like to suggest you to go through some additional reading. ex:
Ushad Subadar Agathee, Raja Vinesh Sannassee & Chris Brooks (2014) The long-run performance of IPOs: the case of the Stock Exchange of Mauritius, Applied Financial Economics, 24:17, 1123-1145, DOI:10.1080/09603107.2014.924294.
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