-eventstudy2- available on SSC: program to perform event studies with complex test statistics

[Thomas Kaspereit]

Thanks to Kit Baum, the program eventstudy2 is now available on SSC.

eventstudy2 allows the user to analyze capital market reactions to corporate events. Complex test statistics for (cumulative) average abnormal returns are automatically calculated for the days surrounding the event day. The user is allowed to pre-define the estimation window, the event window and up to 10 CAR windows. Multifactor models with up to 5 factors are supported. Further models are available: raw returns, constant mean returns and buy-and-hold returns (raw or relative to market returns).

If you encounter any problem while running the program, please write an email to [email protected].

Best
Thomas Kaspereit

[Attaullah Shah]

That's seems a good work. One suggestion here, since the program has so many options, it would be a little convenient for users if a dialog box is introduced for the initial inputs.

[Nicu Sprincean]

Thanks to Kit Baum, the program eventstudy2 is now available on SSC.

eventstudy2 allows the user to analyze capital market reactions to corporate events. Complex test statistics for (cumulative) average abnormal returns are automatically calculated for the days surrounding the event day. The user is allowed to pre-define the estimation window, the event window and up to 10 CAR windows. Multifactor models with up to 5 factors are supported. Further models are available: raw returns, constant mean returns and buy-and-hold returns (raw or relative to market returns).

If you encounter any problem while running the program, please write an email to [email protected].

Best
Thomas Kaspereit

Hi, Thomas,
Thank you for sharing your valuable work, it's a really nice one. What I do not understand is how one can apply his / her own event dates for the event study. I spot that the event dates are stored into the earnings_surprise file, but this file is not called at all. Also, what does "Earnings_surprises" mean?
Suppose that I have 2 files, one S_returns (as in your work) and one called "event_dates" which contain the security_id, market returns and event dates. I may write the following code:
eventstudy2 Security_id Date using S_returns, returns(Return) marketfile(S_returns) mar(Market) mod(MA) evwlb(0) evwub(1) eswlb(-151) eswub(-1) minevw(2) minesw(150)
But how do I use my events day in order to perform this event study?

Thank you in advance for your response.

All the best,
Friedrich