Event studies with daily stock returns in Stata: Which command to use?

Thomas Kaspereit

2020 Stata Conference from Stata Users Group

Abstract: This presentation provides an overview on existing user-written commands for executing event studies. By conducting a review of articles that appeared in the past 10 years in 3 leading accounting, finance, and management journals and by assessing which commands could have been used to conduct these studies, I argue that currently only my command eventstudy2 provides sufficient flexibility to conduct a broad range of state-of-the-art event studies. The older command eventstudy (Zhang et al. 2013) provides a comfortable graphical user interface (GUI) and good functionality for event studies that do not require hypotheses testing. The command estudy described in Pacicco et al. (2018) provides a comprehensive set of test statistics, but its application is restricted to single-day event studies, which represent a very small fraction of event studies conducted in accounting, finance, and management journals.

Date: 2020-08-20
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