Stata codes for event study methodology

Event Study Methodology

 

An event study is used to examine reactions of the market to events of interest. Therefore, there are several areas where event studies are used including
stock market reaction to (1)
1. Dividend annoucements;
2 Earning annoucements;
2. Initial public offerings (IPOs);
3. Mergers and acquisitions;
4. Capital structure changes

An event study can also be used as a macroeconomic tool to analyze the impact of an event on an industry, sector or overall market.


Our Stata Code

We have developed easy to use yet robust codes for event study methodology. The codes need just a basic understanding of Stata.
Further, our comments on each line of code makes the application of the code not only easy, but also helps the users to understand the process more clearly.

We can also help by modifying the codes to match different research questions and hypothesis.

 


What is included in the package

The code package includes the following;
1. Getting the data ready for analysis
2. Creating the events files
3. Creating stock returns files
4. Creating files for market returns and risk free rates
5. Merging all these files together
6. Creating indicator variables for the event and estimation windows
7. Fingding excess and abnormal returns
8. Optionally find cummulative abnormal returns
9. Conducting statistical tests on the returns
10. Graphs and Charts

We can also help by modifying the codes to match different research questions and hypothesis.

 


Pricing

The code is available for $ 100/model, plus a $50 for raw data processing (in case the data is not in Stata format and variables are not already constructed). For further details, please contact us at:

attaullah.shah@imsciences.edu.pk
Stata.Professor@gmail.com

 

References

Binder, J. (1998). The event study methodology since 1969. Review of quantitative Finance and Accounting11(2), 111-137.


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