CAPM OLS event study calculating CAR for multiple companies at the time

[Lukas Stone]

Hello Stata friends,

I am conducting a CAPM event study with 34 events and eight different companies. I would like to compare the different CARs for each of the 34 events.
All the data to compute CAR is in stata. The events are marked from 1 to 34.


Is there any convenient and elegant way to compute this?
Is there a possibility to compute at least the CAR for all eight companies per event?


Any help would be highly appreciated and will lead to infinite thankfulness.

All the best,
Lulas

[David Benson]

Hi Lukas, welcome to Statalist!

1) So if you have access to WRDS, you can use their EVENTUS tool to do the event study for you (and return all the test statistics). There is another external event study calculator here, although I have never used it.

2) To calculate it yourself in Stata, take a look here, here, here, and here.

3) There are also several modules available on SSC for running stock market event studies in Stata, including eventstudy and eventstudy2 (findit eventstudy). There is a 2018 Stata Journal article on using the community-contributed command estudy here.

Hope that helps!
--David