Problem with performing right regression with my data

[xander meertens]

Hello,
I am analyzing the correlation between market cap and abnormal returns of targeted M&A firms, 10 days before the announcement date. My time frame is t-10 untill t-1. My control time frame is t-90 untill t-30.
I currently made this regression code.
reg Cumulated_abn_returns MarketCap TargetDebtRatio BTMValue Cash Liquidity yeardummy's.
My dataset consist of 700 different firms involved in a merger announcement spread over the years 2003-2008. see my data set

Is this the right way to do it?
Thank you very much!
Xander Meertens

[Carlo Lazzaro]

This post looks pretty similar to https://www.statalist.org/forums/for...or-event-study.

[xander meertens]

Hi Carlo,

That's correct. It is the same problem. Try to help my sister solve the problem.