Hi All,
I have the following problem. I am conducting an event study for different event studies. My event windows are [-20,20] ; [-10,10] ; [-10,1] ; [-1,1].
I conduct an event study about the abnormal returns of different deals around the announcement date. I have calculated the Abnormal Returns (AR'S) and the Cumulative Abnormal Returns (CAR's) at the end of every event window.
I have 711 deals. For every day I can calculate the AARs or Average Abnormal Returns. Subsequently I can calculate the Standard error for every day. Now the big question is about the CAAR's, or Cumulative Averrage Abnormal returns. I would like to show the significance of the CAARs by using a standard t-test.
As I understand, from other studies, this can be done by dividing the CAAR with (the Standard error of the AARs * the square root of T). Where T is the amount of days in the event window.
These test are all one day test statistics. I would like to show one complete number in a table for every event window. How can this be done? Only conducting the T-test on the last day of the event window (after the entire accumilation?) Summing all t-test of every eventday? Is there an easy way conducting this in STATA?
So, my question is: how do I show the T-statistics of the CAAR clearly in one table for all different event windows using STATA?
For additional info, I added my excel file.
Many thanks!
I have the following problem. I am conducting an event study for different event studies. My event windows are [-20,20] ; [-10,10] ; [-10,1] ; [-1,1].
I conduct an event study about the abnormal returns of different deals around the announcement date. I have calculated the Abnormal Returns (AR'S) and the Cumulative Abnormal Returns (CAR's) at the end of every event window.
I have 711 deals. For every day I can calculate the AARs or Average Abnormal Returns. Subsequently I can calculate the Standard error for every day. Now the big question is about the CAAR's, or Cumulative Averrage Abnormal returns. I would like to show the significance of the CAARs by using a standard t-test.
As I understand, from other studies, this can be done by dividing the CAAR with (the Standard error of the AARs * the square root of T). Where T is the amount of days in the event window.
These test are all one day test statistics. I would like to show one complete number in a table for every event window. How can this be done? Only conducting the T-test on the last day of the event window (after the entire accumilation?) Summing all t-test of every eventday? Is there an easy way conducting this in STATA?
So, my question is: how do I show the T-statistics of the CAAR clearly in one table for all different event windows using STATA?
For additional info, I added my excel file.
Many thanks!
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