Event Studies with Daily Stock Returns in Stata: Which Command to Use?

The Stata Journal, Forthcoming

34 Pages Posted: 16 Feb 2021

Date Written: December 5, 2020

Abstract

This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older command eventstudy provides a comfortable graphical user interface and good functionality for event studies that do not require hypotheses testing. The command estudy described in Pacicco et al. (2018, Stata Journal 18(2), pp. 416–476; 2020, Stata Journal, forthcoming) provides a set of commonly applied test statistics, useful exporting routines to spreadsheet software and LATEX for event studies with a limited number of events. The most complete command in terms of available test statistics and benchmark models as well as its ability to handle events with insufficient data, thin trading and large samples is eventstudy2.

Keywords: event study, eventstudy, eventstudy2, estudy, Stata

JEL Classification: C87, C88, G14

Suggested Citation

Kaspereit, Thomas, Event Studies with Daily Stock Returns in Stata: Which Command to Use? (December 5, 2020). The Stata Journal, Forthcoming , Available at SSRN: https://ssrn.com/abstract=3743395 or http://dx.doi.org/10.2139/ssrn.3743395

Thomas Kaspereit (Contact Author)

Universite du Luxembourg ( email )

Université du Luxembourg
Campus Kirchberg
Luxembourg, 1359
Luxembourg
+352 466644 6728 (Phone)

HOME PAGE: http://https://wwwen.uni.lu/research/fdef/dem/people/thomas_kaspereit

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