EVENTSTUDY2: Stata module to perform event studies with complex test statistics

Thomas Kaspereit

Statistical Software Components from Boston College Department of Economics

Abstract: eventstudy2 performs event studies and allows the user to specify several model specifications that have been established in the finance and related literature, e.g. raw returns, the market model, multi-factor models and buy-and-hold abnormal returns. The length of estimation and event windows can be chosen freely and cumulative (average) abnormal (buy-and-hold) returns can be calculated over up to 10 windows.

Language: Stata
Requires: Stata version 12
Keywords: event study; stock returns; finance; market model; abnormal returns; CARs (search for similar items in EconPapers)
Date: 2015-09-25, Revised 2022-11-27
Note: This module should be installed from within Stata by typing "ssc install eventstudy2". 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/eventstudy2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudy2_parallel.do program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/eventstudy2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/f/factor_returns.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/e/earnings_surprises.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/s/security_returns.dta sample data file (application/x-stata)

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