Questions on the Eventstudy 2 command

[Philip HU]

Dear Stata Users,

I am using the Evenstudy2 command to perform an event study for a portfolio of stock returns to a common policy event.

I am using code like this:

use Event_Stud.dta, clear

eventstudy2 ISIN day_year using Return_File, returns(exret) model(FM) marketfile(French_5_Factors) marketreturn(mktrf) factor1(smb) factor2(hml) factor3(rmw) factor4(cma) riskfreerate(rf) evwlb(-10) evwub(10) car1LB(-10) car1UB(-5) car2LB(-5) car2UB(0) car3LB(0) car3UB(5)  car4LB(5) car4UB(10)  eswlb(-250) eswub(-30) replace

I have two question on the command:

• Why do the -10 to -5 CAAR do not equal the AARs that I average by hand from t=-10 to t=-5 ?
• Is there a way to add confidence intervals to both the AARs and CAAR estimates?

Thank you so much for helping!