Event study tools

Your task will be much easier if you enter the commands in a do file, which is a text file containing a list of Stata commands.

It's likely that you have more observations for each company than you need. It's also possible that you do not have enough for some. Before you can continue, you must make sure that you will be conducting your analyses on the correct observations.

To do this, you will need to create a variable, dif , that will count the number of days from the observation to the event date. This can be either calendar days or trading days. As you can see, calculating the number of trading days is a little trickier than calendar days. Then we determine which observation occurs on the event date.

Finally, we simply take the difference between the two, creating a variable, dif , that counts the number of days between each individual observation and the event day. Next, we need to make sure that we have the minimum number of observations before and after the event date, as well as the minimum number of observations before the event window for the estimation window.

An event study can reveal greater market trends or patterns. If the same type of model is used to analyze multiple events of the same type, it can predict how stock prices typically respond to a specific event. Sustainable Investing. Top Stocks. Fundamental Analysis. Corporate Bonds. Business Essentials. Actively scan device characteristics for identification. Use precise geolocation data. Select personalised content. Create a personalised content profile.

Measure ad performance. Select basic ads. Create a personalised ads profile. Select personalised ads. Apply market research to generate audience insights. Measure content performance. Develop and improve products. Watch the Chinese version of this introduction on youtube.

To conduct an event study on www. Figure 1 illustrates this basic workflow. Please note that we offer three event study research apps: An abnormal return calculator ARC for return event studies, an abnormal volume calculator AVC for event studies that investigate abnormal trading volumes, and an abnormal volatility calculator AVyC if the trading volatility is to be investigated. Each abnormal effect calculator will give you the test statistics that you need for your publication. You always find more information if necessary on our website: EventStudyTools.

The three necessary files can be easily generated by following command:. We named the request and data files in following manner:. In your analysis, you can name them as you want. This csv file contains the event definitions.

It contains 9 columns. The order must be in the following way, as the columns are not named in the csv. In the following example, we have an event window of [-2, 2] an event window of length 5 , an estimation window of length , and the estimation window ends 11 days before the event. The first column Event IDs must hold unique numeric values. This file holds the stock data for the firms listed in the request file.

It contains 3 columns. The following table shows the first 20 entries of our example firm data. This will change the neccessary data you need for performing an Event Study e. To leave a comment for the author, please follow the link and comment on their blog: Event Study Tools - R. Want to share your content on R-bloggers? Installing the R-package: you need to install devtools first install.