P40 – Event study of share repurchase, investor attention, and cash flows | Stata
This project was related to share repurchases, investors’ attention, and the role of firm’s cashflows and profitability. Following is the list of
the major coding activities of the project.
Importing different files from Excel
Reshaping the data to a long format
Merging different datasets
Finding share-repurchase event window returns
Making table depicting the varying statistical significance across different event windows
Making table that shows the mean cumulative abnormal return over the found significant event window for firms based on the free cahsflows (FCF) and ROA quintiles
Associate attention data with repurchase dates, i.e for each event date and also on the next day following event dates
Counting number of share repurchases for each company
Our Stata Code
We have developed easy to use yet robust codes for the above steps. The codes need just a basic understanding of Stata.
Further, our comments on each line of code will surely help you in running the code as well as in understanding the process more clearly. We normally share all Stata files, the raw data files, and Stata codes with comments. The purpose is to help researchers to learn and apply these codes on their own. We also try to answer questions that might arise at a later stage when the researcher applies these codes.
The code is available for $ $299, 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: