Running Event Studies Using Stata: The Estudy Command

14 Pages Posted: 6 Nov 2017

See all articles by Fausto Pacicco

Fausto Pacicco

LIUC - Università Cattaneo

Luigi Vena

LIUC - Università Cattaneo

Andrea Venegoni

LIUC Università Cattaneo

Date Written: October 17, 2017

Abstract

This paper proposes the Stata command estudy and illustrates how it can be used to perform an event study customizing the statistical framework, from the estimates of abnormal returns to the tests for their statistical significance. Our program significantly improves the existing modules both in terms of completeness and users’ comprehension.

Keywords: estudy, event study, financial econometrics

Suggested Citation

Pacicco, Fausto and Vena, Luigi and Venegoni, Andrea, Running Event Studies Using Stata: The Estudy Command (October 17, 2017). Available at SSRN: https://ssrn.com/abstract=3059521 or http://dx.doi.org/10.2139/ssrn.3059521

Fausto Pacicco (Contact Author)

LIUC - Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

Luigi Vena

LIUC - Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

Andrea Venegoni

LIUC Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

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