I’m new to financial econometrics and would appreciate any guidance. I’m working on an event study to examine abnormal stock returns in response to political events in the U.S.
1. Since these events might affect returns in some states but not others, should I run an aggregate event study/regression with state fixed effects, or would it be better to conduct the study separately for each state?
2. If I were to focus on elections, is there a way to pool the analysis altogether or does it make sense to run the analysis per elections?
Thank you!
1. Since these events might affect returns in some states but not others, should I run an aggregate event study/regression with state fixed effects, or would it be better to conduct the study separately for each state?
2. If I were to focus on elections, is there a way to pool the analysis altogether or does it make sense to run the analysis per elections?
Thank you!
