Running Event Studies Using Stata: The Estudy Command
14 Pages Posted: 6 Nov 2017
Date Written: October 17, 2017
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
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