Cumulative Abnormal Returns calculation

[Femi Adesanya]

Hi,

I am very new to STATA. I was wondering what the best variables to use to create a dataset for an event study on M&A returns that aims to calculate the cumulative abnormal returns..

Cheers

Femi

[Kazi Bacsi]

I suppose the question is not really a technical one. First you'd need to find a reference portfolio to have the "normal" returns...

See: Fama-French, Carhart models