EVENTSTUDY: Stata module to perform event studies in finance

Xuan Zhang (), Chuntao Li () and Xin Xu ()
Additional contact information
Xin Xu: Zhongnan Univ. of Econ. & Law

Statistical Software Components from Boston College Department of Economics

Abstract: eventstudy can carry out a standard market model event study. it calculate the abnormal returns and Cumulative abnormal returns for each event. To run this command, you have to specify the parameters on event file, trading file, and event windows by using option.

Language: Stata
Requires: Stata version 12
Keywords: financial data; market model; event study; CAPM; abnormal returns (search for similar items in EconPapers)
Date: 2013-03-17, Revised 2013-09-16
Note: This module should be installed from within Stata by typing "ssc install eventstudy". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/e/eventstudy.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/es_event_wrk_dlg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/es_store_array.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/es_trade_wrk_dlg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudy_wrk_dlg_event.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudy_wrk_dlg_trade.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudy.dlg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/es_event.dlg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/es_method.dlg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/es_trade.dlg program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudy.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/EventStudyTest.do sample do-file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457615

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