I am new to Stata and I am hoping to get some advice to get me started!
Hi!
I was hoping someone may be able to help me?
I am a MSc Finance student completing my thesis. The goal of my thesis is to compute a multiple event study on how 30+ different announcements each affect the different industries within the FTSE 100 (i.e. 100 companies sorted into 10 industries).
This task requires that I compute abnormal returns for each company for each policy announcement date (using the event window t-1 to t+1) and then have the abnormal returns grouped and averaged into industries to give me one set of data per announcement, per industry.
(Context: I am testing to see if climate policies impact specific industries and whether the effects are more pronounced for particular styles of announcement- which is why I am required to compute returns for each individual announcement date rather than one total average abnormal return for all announcement events, hence why the task is more long winded than a lot of the event studies I’ve come across).
I am told that the most efficient and timely way of carrying out this study is through using Stata BUT I am completely new to Stata and have absolutely no idea where to begin.
I have come across the Princeton Guide online (https://dss.princeton.edu/online_help/stats_packages/stata/eventstudy.html) although a Google search reveals many posts which say the Princeton guide is outdated (I have downloaded Stata 16 on my Mac). Climate-related finance literature in this field is also fairly new so there isn’t really any guidance out there on how I can compute this kind of a study.
Does anyone have any advice for me on how I should begin the study?, what my collected stock data should look like and how it should be structured for a study of this size?, and how I can use Stata to compute the study described and get my desired results?
I hope someone may be able to assist me with getting started using Stata!
Kindest Regards,
Maryam
I was hoping someone may be able to help me?
I am a MSc Finance student completing my thesis. The goal of my thesis is to compute a multiple event study on how 30+ different announcements each affect the different industries within the FTSE 100 (i.e. 100 companies sorted into 10 industries).
This task requires that I compute abnormal returns for each company for each policy announcement date (using the event window t-1 to t+1) and then have the abnormal returns grouped and averaged into industries to give me one set of data per announcement, per industry.
(Context: I am testing to see if climate policies impact specific industries and whether the effects are more pronounced for particular styles of announcement- which is why I am required to compute returns for each individual announcement date rather than one total average abnormal return for all announcement events, hence why the task is more long winded than a lot of the event studies I’ve come across).
I am told that the most efficient and timely way of carrying out this study is through using Stata BUT I am completely new to Stata and have absolutely no idea where to begin.
I have come across the Princeton Guide online (https://dss.princeton.edu/online_help/stats_packages/stata/eventstudy.html) although a Google search reveals many posts which say the Princeton guide is outdated (I have downloaded Stata 16 on my Mac). Climate-related finance literature in this field is also fairly new so there isn’t really any guidance out there on how I can compute this kind of a study.
Does anyone have any advice for me on how I should begin the study?, what my collected stock data should look like and how it should be structured for a study of this size?, and how I can use Stata to compute the study described and get my desired results?
I hope someone may be able to assist me with getting started using Stata!
Kindest Regards,
Maryam
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