Event study in Stata
Budget: €30 – €250 EUR
I would need an event study done in Stata and the related code /do Stata file with comments of the main parts of the code e.g. data cleaning, AR calculation, statistical test etc.
The event study would include estimation of expected returns with the market model, and using two different indices separately. Calculation of abnormal returns (ARs), Average abormal returns (AARs), Cumulative abnormal returns (CARs) and Cumulative average abnormal returns (CAARs) and as a statistical test the Adjusted Standardized Cross-Sectional or Adjusted BMP Test by Kolari and Pynnönen (2010) should be applied. Also the descriptive statistics ( mean, median, minimum, maximum, standard deviation, skewness, ex. Kurtosis) of the ARs, AARs, CARs and CAARs should be included in the results. The results would also include line graphs of the AARs, CARs and CAARs.
The above mentioned results should be calculated to four different event window lengths but the specific window length and estimation period lengths can be discussed once the bid has been confirmed or we are in discussions.
The events in the study are all common events to all the firms included. Hence, the events are clustered. However, the event data set is divided into three different sets of events that should all be examined separately. Basically set 1 is inspected individually, set 2 is combined with set 1 and inspected, and finally set 3 includes also set 1 & 2 and is inspected separately.
Attached in example of the data in excel that contains the closing prices of the stocks and of the indices. The events are also included in a separate sheet and the different sets of events are also indicated.
The event study would include estimation of expected returns with the market model, and using two different indices separately. Calculation of abnormal returns (ARs), Average abormal returns (AARs), Cumulative abnormal returns (CARs) and Cumulative average abnormal returns (CAARs) and as a statistical test the Adjusted Standardized Cross-Sectional or Adjusted BMP Test by Kolari and Pynnönen (2010) should be applied. Also the descriptive statistics ( mean, median, minimum, maximum, standard deviation, skewness, ex. Kurtosis) of the ARs, AARs, CARs and CAARs should be included in the results. The results would also include line graphs of the AARs, CARs and CAARs.
The above mentioned results should be calculated to four different event window lengths but the specific window length and estimation period lengths can be discussed once the bid has been confirmed or we are in discussions.
The events in the study are all common events to all the firms included. Hence, the events are clustered. However, the event data set is divided into three different sets of events that should all be examined separately. Basically set 1 is inspected individually, set 2 is combined with set 1 and inspected, and finally set 3 includes also set 1 & 2 and is inspected separately.
Attached in example of the data in excel that contains the closing prices of the stocks and of the indices. The events are also included in a separate sheet and the different sets of events are also indicated.