Cumulative Abnormal Returns

[Bruce Jones]

Company ID	Date	Buyback	AR
1	1	1	-0.01
1	2		0.0002
1	3		-0.003
1	4		0.003
1	5		0.003
1	6	1	0.003
1	7	1	0.003
1	8		0.003
1	9		0.003
1	10		0.003
1	11		0.003
1	12	1	0.004
1	13	1	0.0003
1	14		0.1
1	15		-.003
1	16		''
1	17	1	''
1	18		''
1	19		''

Dear Statalist,

I am struggling in calculating the CAR for share buybacks. Above is an example dataset. It is all for the same firm and the buyback is a dummy variable that take a value of 1 when there is a share repurchase. The abnormal returns have been calculated now i am trying to calculate the CAR for event windows (-1,1) & (-5,5).

Thanks,

Bruce Jones

[William Lisowski]

Please review the Statalist FAQ linked to from the top of the page, as well as from the Advice on Posting link on the page you used to create your post. See especially sections 9-12 on how to best pose your question. It's particularly helpful to copy commands and output from your Stata Results window and paste them into your Statalist post using CODE delimiters, and to use the dataex command to provide sample data, as described in section 12 of the FAQ.

[Dave Airey]

I don't know if this helps, but you can get a running sum by using the sum() function on a variable. You can apply this within groups using by. You may also need if

help sum()
help by
help if

[Bruce Jones]

Please find a data example attached

[Phil Bromiley]

You have ignored William's guidance on asking questions. If you're xtset your data, you could create your values simply with generate using lead (F.) and lag (L.) on your return variable.