Calculating the expected return of Eurostoxx 50 with STATA (Event Study)

[Max Mustermann]

Hello everyone,
currently I am working on an event study with the Eurostoxx 50 Index as underlying market. As I never worked with STATA before, I actually have no experience with the software.. So I hope you guys can help me out.

My question is, how to calculate the Index' Expected Return/ Normal Return (in order to calculate the abnormal returns). Is there any tutorial or maybe even a written command for this purpose or does anyone have a hint for me?

Unfortunately I couldn't find anything, neither on google, nor by using the search function...

Thanking you in advance!

Greetings,
MM

[Phil Bromiley]

There have been a large number of discussions of event studies discussions on Stata list. You should check them. Also remember to follow the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. Remember, many of us are not from your area so you need to explain your problem in using general terms - many would not necessarily know what normal return means. Indeed, even in areas that do finance event studies, there are alternative methods for normal returns.