Buy-and-Hold Abnormal Returns (BHAR) Model

Implements Buy-and-Hold Abnormal Returns for long-horizon event studies. BHAR compounds returns over the event window instead of summing: $$BHAR_i = \prod(1 + R_{i,t}) - \prod(1 + R_{benchmark,t})$$

The benchmark is the market/index return by default. This model is appropriate for long-horizon studies (months/years) where compounding effects matter.

See also

Other eventstudy-models: Carhart4FactorModel, ComparisonPeriodMeanAdjustedModel, DCCGARCHModel, FamaFrench3FactorModel, FamaFrench5FactorModel, GARCHModel, LinearFactorModel, LogReturn, MarketAdjustedModel, MarketModel, ModelBase, ReturnCalculation, RollingWindowModel, SimpleReturn, VolatilityModel, VolumeModel

Super class

ModelBase -> BHARModel

Public fields

model_name

Name of the model.

Methods

Public methods

• BHARModel$fit()

• BHARModel$abnormal_returns()

• BHARModel$clone()

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BHARModel$fit()

Fit the BHAR model. Computes estimation window statistics.

Usage

BHARModel$fit(data_tbl)

Arguments

data_tbl

Data frame or tibble.

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BHARModel$abnormal_returns()

Calculate abnormal returns using buy-and-hold compounding.

Usage

BHARModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

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BHARModel$clone()

The objects of this class are cloneable with this method.

Usage

BHARModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.