Hello,
I am currently writing my master thesis and I am trying to use the user-written formula Evenstudy2 in Stata. I am testing how stocks of US-listed firms are affected by extreme changes in energy prices. Therefore, I am conducting an event study whereby the events consist of an extreme daily change (15% threshold) of oil, natural gas and coal prices. This resulted in a total of 47 events which can be divided further divided into 29 positive events and 18 negative events. My sample of firms consist of 1326 firms. Each event is thus a general event that occurs for each of the 1326 firms. I want to know the effect of each event on all 1326 firms (together) as well as the effect of all positive/negative events together on all 1326 firms.
I was wondering if it is possible to group the firms and how this works? I am really struggling with finding the best approach with general events instead of company specific events. Is there a possibility to add something to the code or do I have to change my Excelfile (event_dates.dta). I am now using the following code:
eventstudy2 symbol date using stock_returns.dta, returns(return) model(COMEAN) evwlb(0) evwub(3) eswlb(-11) eswub(-4) minesw(8), replace.
I am using a very short estimation window due to the fast succeeding of events.
I hope someone can help me. Thanks a lot!
Greetz
I am currently writing my master thesis and I am trying to use the user-written formula Evenstudy2 in Stata. I am testing how stocks of US-listed firms are affected by extreme changes in energy prices. Therefore, I am conducting an event study whereby the events consist of an extreme daily change (15% threshold) of oil, natural gas and coal prices. This resulted in a total of 47 events which can be divided further divided into 29 positive events and 18 negative events. My sample of firms consist of 1326 firms. Each event is thus a general event that occurs for each of the 1326 firms. I want to know the effect of each event on all 1326 firms (together) as well as the effect of all positive/negative events together on all 1326 firms.
I was wondering if it is possible to group the firms and how this works? I am really struggling with finding the best approach with general events instead of company specific events. Is there a possibility to add something to the code or do I have to change my Excelfile (event_dates.dta). I am now using the following code:
eventstudy2 symbol date using stock_returns.dta, returns(return) model(COMEAN) evwlb(0) evwub(3) eswlb(-11) eswub(-4) minesw(8), replace.
I am using a very short estimation window due to the fast succeeding of events.
I hope someone can help me. Thanks a lot!
Greetz
