Calculate cumulative abnormal announcement return (CAR)

[Anna Tien]

Dear all,

I am a Stata learner and have some problems related to the calculation of CAR. My data includes permno (CRSP identifier), date, daily stock return and daily market return. I have around 4000 different permno, there are 10 years daily stock return and daily market return data under each permno. My event window is (-5,5) and my estimation period is (-200,-50).
I want first run regressions using daily return as the dependent variable and market return as the independent variable using the period (-200,-50) for every observation in order to get the predicted daily stock return. But I do not know how to achieve this using Stata. Can anyone please help me with this?

Thank you very much!

[Phil Bromiley]

There have been a large number of postings on Statalist about stock market event studies. There is even some software designed to do such studies. Please search carefully within Statalist and google event Stata. Get back to us if these don't do what you need.