Event Study - Creating CAR & Event Windows

[Bruce Jones]

Dear Statalist,

I am trying to look at the effect of buybacks on CAR. I have created the abnormal returns/day but am having difficulties creating the cumulative abnormal returns for event windows of (-1,1), (-5,5) & (-1,100). There is a dummy which takes a value of 1 when there is a buyback.

Any help would be much appreciated.

Regards,

Bruce Jones

[Attaullah Shah]

Welcome Bruce Jones. Please tells us about your variables and post sample of your data using dataex i.e.

ssc install dataex
dataex in 1/50

and then post your data. The reason I am asking for an example dataset is that it is not clear which variable tracks the event window, company ids, abnormal returns, etc. If I assume that your event window variable is named as dif, the something like the followng should work for you

bys company_id: egen AACR1 = total(CAR) if buyback==1 & dif>=-1 & dif<=1 // for the -1,1 winow
bys company_id: egen AACR5 = total(CAR) if buyback==1 & dif>=-5 & dif<=5

[Bruce Jones]

I had some difficulty uploading the example dataset. However here is a link to the data -- hope this isnt to much of a hassle.

https://www.dropbox.com/s/xfjowutvio...ample.dta?dl=0

Regards,

Bruce Jones