Estudy Command: Exporting Daily Values Across Event Windows for Manual Graph Construction

[Varun Bhattacharyya]

Hello STATA Community,

I am working on an event study using the estudy command where I have calculated the Cumulative Average Abnormal Returns (CAAR) for a group of securities with a common event date. The estudy command generates the graphs for the CAAR values across the event windows, but it does not seem to provide an option to export the underlying data used in these graphs.

I am particularly interested in obtaining the daily CAAR values across the specified event windows for each security. This would allow me to construct a combined graph manually, overlaying the CAAR lines for all securities on a single plot for a clear visual comparison.

Questions:

1. How can I extract or export the daily CAAR values for each security across the event windows from the estudy command?
2. Is there a way to output these values into a .dta file or any other format which I can then use to manually construct the graphs using a different tool or within STATA itself?

Any advice on commands or code snippets that can facilitate this data extraction would be greatly appreciated. Additionally, if there's a way to directly overlay these CAAR lines in STATA instead of exporting, I would welcome guidance on that process as well.

Thank you in advance for your assistance!