Weighted event study using Eventstudy2

[Glen Gostlow]

Hi,

I am using the package Eventstudy2 in Stata 17.0 - many thanks to the author Thomas Kaspereit for it.

I am wondering if it is possible to estimate a weighted event study? This would mean weighting returns by market capitalisation if following a value-weighted approach.

From what I can see from the help file this is not possible yet but would be useful.

Thanks,

Glen

[Thomas Kaspereit]

Dear Glen,

Thank you for your inquiry.

No, this is not possible in eventstudy2.

However, you can access the CARs in the crossfile and value-weight them before assessing their means. Or, you can access eventstudy2's abnormal return matrixes (ARE and AR) in Mata and perform your own tests, including value-weighting.

Best
Thomas