From common to firm-specific event dates: A new version of the estudy command

Fausto Pacicco, Luigi Vena (lvena@liuc.it) and Andrea Venegoni (avenegoni@liuc.it)
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Luigi Vena: LIUC–Università Carlo Cattaneo
Andrea Venegoni: LIUC–Università Carlo Cattaneo

Stata Journal, 2021, vol. 21, issue 1, 141-151

Abstract: The estudy command proposed by Pacicco, Vena, and Venegoni (2018, Stata Journal 18: 461–476) performs event studies only for event-date clustering, that is, when the event date is common to all securities. This constitutes a relevant limitation because the vast majority of this methodology’s applications concerns studies in which the events happen on different dates for each statistical unit considered. In this article, we propose and describe a substantial update to estudy, which 1) performs event studies in the absence of event-date clustering (that is, when each security has its own event date); 2) further customizes the output by producing LATEX-formatted tables; 3) graphs the cumulative abnormal returns over a customized period set by the user; 4) makes more output data available through either the return list or Excel files; 5) allows a double possibility as input: either prices or returns; and 6) uses wildcards.

Keywords: estudy; event study; financial econometrics (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211000010

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