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Gebhardt et al. (2001) – GLS
ICC GLS Model
Claus and Thomas (2001)
Cost of Equity using CAPM & FF3
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Event study methodology
Returns to New IPOs
Share repurchases
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Market Liquidity
Market liquidity models
Bid Ask Spread
Volatility
Backtesting VaR Models
P42 – Volatility portfolios
P31 – Realized volatility
Volatility Managed Portfolios
Expected Idiosyncratic Skewness
CEO debt and R&D
Zero-leverage firms
Financial Statement Comparability
Stata Programs
ASDOC: Stata to Word
asdoc : examples
asdoc : Tables of summary statistics
ASROL: Rolling window stats
ASREG: rolling regressions
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ASCOL: Converts Data Frequency
ASM: Momentum Portfolios
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Download Statistics
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Asset Pricing Models
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Fama – MacBeth
Bootstrap Fund Performance
Investors attention
Misvaluing Innovation
Implied cost of equity (ICC)
Gebhardt et al. (2001) – GLS
ICC GLS Model
Claus and Thomas (2001)
Cost of Equity using CAPM & FF3
Mutual Funds performance
Event studies
Event study methodology
Returns to New IPOs
Share repurchases
Momentum & Trading
asm Momentum Portfolios
Absolute Strength Momentum
Non-parametric momentum
Trading rules
Herding behavior
Sentiment, disagreement
KMV – Default Probability
Earning Management Model
Market Liquidity
Market liquidity models
Bid Ask Spread
Volatility
Backtesting VaR Models
P42 – Volatility portfolios
P31 – Realized volatility
Volatility Managed Portfolios
Expected Idiosyncratic Skewness
CEO debt and R&D
Zero-leverage firms
Financial Statement Comparability
Stata Programs
ASDOC: Stata to Word
asdoc : examples
asdoc : Tables of summary statistics
ASROL: Rolling window stats
ASREG: rolling regressions
ASTILE: for Portfolios and Groups
ASCOL: Converts Data Frequency
ASM: Momentum Portfolios
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Even Study methodology Stata code
Even Study methodology Stata code
Attaullah Shah
2023-06-18T16:25:17+05:00
Even-Study-methodology-Stata-code
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