How can I run an event study on this dataset?

[Jocelyn Ng]

Hi,

I want to look at market reaction in response to earnings announcements, and I have a dataset in the following format:

ticker   company_id   date_id   date   event_date   rm   ret   ar   surp

company_id identifies the company (numerical representation of ticker), date_id ranges from -5 to 5 (-5 -4 -3 -2 -1 0 1 2 3 4 5) and it is the numerical representation of days in the event window, date are the corresponding dates, event_date is the date of the event (corresponds to date_id = 0), rm is the market return, ret is the stock return, ar is the stock abnormal return, the surp is earnings surprise.
I have looked at the Princeton page already (https://dss.princeton.edu/online_hel...ventstudy.html), tried to follow it but got a little lost because my data is not entirely the same format as that one.

I want something like this in the end: ar = x1*day_m5 + x2*day_m4 + ... so I can see how the returns react in the days leading up to, on the day of, and after the announcement.

Thank you!

[Phil Bromiley]

You'll increase your chances of a helpful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

There have been many posts about event studies on StataList. Search for them. Have you even xtset your data?