After many frustrated days without any result to calculate the cumulative abnormal return, I need some help to know how to code the car. As you can see below, I added a picture of the situation. I want to capture the CAR t+4 : t+60. Or in other words the starting point to calculate the car is 4 days after the earnings announcement till 60 days after the earnings announcement. I already merged the databases that I needed, and created a sample document based on one company with multiple earnings announcement. Otherwise, the run will take forever if it is based on million observations.
cusip8 = company code
anndats_act = earnings announcement
data = trading days
AR = Abnormal returns
24feb2015 is the earnings annoucement (anndats_act) for a certain company (cusip8). I want to capture the cumulative abnormal return (AR) from 27feb2015 (
cusip8 = company code
anndats_act = earnings announcement
data = trading days
AR = Abnormal returns
24feb2015 is the earnings annoucement (anndats_act) for a certain company (cusip8). I want to capture the cumulative abnormal return (AR) from 27feb2015 (
4days after the earnings announcemen) till 60 days after earnings announcement. I want to caputure the car for multiple company.
I look forward to hear your suggestions how I can write the code to capture the car t+4 : t+60.
I look forward to hear your suggestions how I can write the code to capture the car t+4 : t+60.
