Eventstudy2

[Laurien Blaisse]

Hi, I am currently trying to apply the eventstudy2 command to a multi-country event study.

I have various announcements of bond issuances in various countries.

I have one file with event dates.

For each country I have market returns, represented by each of the columns below.

I have included a market id in the stock returns file that corresponds to the market ids above.

In the code for eventstudy2 I specify which file has the market returns but should I also specify which is the specific market return or is this not necessary when using CAPM and each country has a different market return?

Further, I have risk-free rates for each country. I am not entirely sure how to include this in the code given that each country has a specific risk-free rate. What is the best approach to include the risk-free rate in the code and in which file should they be present?

I would greatly appreciate if you could help me with this.

Thank you.

[Thomas Kaspereit]

Dear Laurien,

You have to reorganise your market return data to long format, i.e. each row containing one market return, market id, date, and riskfree rate.

If you correctly specify the market id option in eventstudy2, it will properly use local indexes returns and riskfree rates in the estimation of abnormal return based on the market index model.

Best
Thomas