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  • Financial Event Study with more than one event per company

    Dear StataList members,
    I wish you all a happy new year and may this forum get bigger and richer with years.
    I am conducting a financial event study (seasoned equity offerings).
    I used the Princeton University document as a primary assistance and I found it very helpful. Here is the URL: http://dss.princeton.edu/online_help...ydataprep.html
    The commands in the mentioned document are shaped based on the following: Event dates along with company identifiers have one file. Stock returns, market returns and matching company identifiers have another file.
    I am stuck in the stage of managing data, and not the stage of conducting the actual analysis.
    Their commands are customized given that each company has only one event. However, several companies in my data have more than one event.
    They mention in their explanation that "In some situations one may wish to examine more than one event date for each company. In multiple observations per company, it is necessary to create a duplicate set of observations for each event date/company combination. You need a full set of stock observations to examine each event."
    So, I need to know the command which can create a full set of stock returns for each event separately.
    Please let me know if any part of my explanation is ambiguous.
    I have tagged members who I have read their posts/replies and I believe they can help me on this topic. I am truly grateful for any help you provide.
    Thank you all very much in advance.
    Best regards

  • #2
    Duplicate Post! Please follow the thread using the following link: ​http://www.statalist.org/forums/foru...nt-per-company

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