Dear Statalisters,
I am using the command -eventstudy2- over estudy, since I am studying the behavior of around 80 companies listed in 16 stock exchanges around the world. Please find below a snippet of my data, which is from the master file that contains the security and market identifiers. There are two more files -security_returns- and -market_returns-, which contain the data on the returns of the securities and the returns of the markets. The snippets from those files are pasted below as well.
SECURITY RETURNS FILE
MARKET RETURNS FILE
I have used the following -eventstudy2- command and have received the message
"Generating dateline ...
type mismatch
r(109);"
eventstudy2 cocode date using sec_ret, returns(sec_ret) model(abnormal_return_model) marketfile(mkt_ret) marketreturns(mkt_ret) idmarket(mkt_ref) factor1(Security_returns1) factor2(Security_returns2) evwlb(-10) evwub(10) eswlb(-8) eswub(8) aarfile(output_average_abn_ret_file) carfile(output_cum_average_abn_ret_file) arfile(output_abn_ret_file) car1LB(-5) car1UB(5) car2LB(-3) car2UB(3) car3LB(-1) car3UB(1) car4LB(0) car4UB(1) car5LB(0) car5UB(5) car6LB(0) car6UB(3) car7LB(0) car7UB(10)
Kindly advise.
Thank you in advance.
Best wishes,
Avik
I am using the command -eventstudy2- over estudy, since I am studying the behavior of around 80 companies listed in 16 stock exchanges around the world. Please find below a snippet of my data, which is from the master file that contains the security and market identifiers. There are two more files -security_returns- and -market_returns-, which contain the data on the returns of the securities and the returns of the markets. The snippets from those files are pasted below as well.
Code:
* Example generated by -dataex-. For more info, type help dataex clear input int date str33 coname double close byte daycount str18 rit str32 stkex double index byte(mkt_ref cocode) str18 mktit byte(donation don_d medsup rndsup econ_d) 21977 "EVRAZ plc" 330.6 -11 "NA" "LSE" 6718.2 1 1 "NA" . . 1 0 1 21978 "EVRAZ plc" 328.399994 -10 "-.0066768260790529" "LSE" 6815.59 1 1 ".0143923736235467" . . 1 0 1 21979 "EVRAZ plc" 289.299988 -9 "-.1267681888052156" "LSE" 6705.43 1 1 "-.0162949892129551" . . 1 0 1 21980 "EVRAZ plc" 269.100006 -8 "-.0723810904732514" "LSE" 6462.55 1 1 "-.036893669174136" . . 1 0 1 21983 "EVRAZ plc" 232.300003 -7 "-.1470534273387057" "LSE" 5965.77 1 1 "-.0799858431926038" . . 1 0 1 21984 "EVRAZ plc" 246.800003 -6 ".0605486514961259" "LSE" 5960.23 1 1 "-.0009290626192339" . . 1 0 1 21985 "EVRAZ plc" 247.300003 -5 ".0020238824715611" "LSE" 5876.52 1 1 "-.0141443209653372" . . 1 0 1 21986 "EVRAZ plc" 203.399994 -4 "-.1954277325424515" "LSE" 5237.48 1 1 "-.1151242833461364" . . 1 0 1 21987 "EVRAZ plc" 228.800003 -3 ".1176738185015968" "LSE" 5366.11 1 1 ".0242627846090327" . . 1 0 1 21990 "EVRAZ plc" 243.300003 -2 ".0614469895024022" "LSE" 5151.08 1 1 "-.0408968498065408" . . 1 0 1 21991 "EVRAZ plc" 249.699997 -1 ".025964923151377" "LSE" 5294.9 1 1 ".0275376917060614" . . 1 0 1 21992 "EVRAZ plc" 230.5 0 "-.080009322834607" "LSE" 5080.58 1 1 "-.0413186648322965" . . 1 0 1 21993 "EVRAZ plc" 209.800003 1 "-.0940961521751738" "LSE" 5151.61 1 1 ".0138838588775229" . . 1 0 1 21994 "EVRAZ plc" 224.399994 2 ".0672754366490436" "LSE" 5190.78 1 1 ".0075746877238824" . . 1 0 1 21997 "EVRAZ plc" 210.100006 3 "-.0658465105017889" "LSE" 4993.89 1 1 "-.0386688097195972" . . 1 0 1 21998 "EVRAZ plc" 252.100006 4 ".1822422215851693" "LSE" 5446.01 1 1 ".0866680652766665" . . 1 0 1 21999 "EVRAZ plc" 254.300003 5 ".0086888262312108" "LSE" 5688.2 1 1 ".043510623166858" . . 1 0 1 22000 "EVRAZ plc" 250.5 6 "-.0150557637002445" "LSE" 5815.73 1 1 ".0221724618679321" . . 1 0 1 22001 "EVRAZ plc" 239.899994 7 "-.043236775689692" "LSE" 5510.33 1 1 "-.0539418030162343" . . 1 0 1 22004 "EVRAZ plc" 226.699997 8 "-.0565946005550923" "LSE" 5563.74 1 1 ".0096460315189009" . . 1 0 1 22005 "EVRAZ plc" 231.600006 9 ".0213842273254405" "LSE" 5671.96 1 1 ".0192641930213805" . . 1 0 1 22006 "EVRAZ plc" 226.199997 10 "-.0235922211861551" "LSE" 5454.57 1 1 "-.0390809476051767" . . 1 0 1 21984 "Pershing Square Holdings, Ltd" 18.15 -11 "NA" "Nikkei" 19867.12 2 2 "NA" . . 1 1 1 21985 "Pershing Square Holdings, Ltd" 17.594999 -10 "-.0310558467716407" "Nikkei" 19416.06 2 2 "-.0229655452804125" . . 1 1 1 21986 "Pershing Square Holdings, Ltd" 16.549999 -9 "-.0612286725391097" "Nikkei" 18559.63 2 2 "-.045111766839868" . . 1 1 1 21987 "Pershing Square Holdings, Ltd" 17.735001 -8 ".0691541032111524" "Nikkei" 17431.05 2 2 "-.0627356931331444" . . 1 1 1 21990 "Pershing Square Holdings, Ltd" 16.584999 -7 "-.0670415325076954" "Nikkei" 17002.04 2 2 "-.0249197618245788" . . 1 1 1 21991 "Pershing Square Holdings, Ltd" 16.440001 -6 "-.0087811616482837" "Nikkei" 17011.53 2 2 ".0005580125959283" . . 1 1 1 21992 "Pershing Square Holdings, Ltd" 15 -5 "-.0916672493530725" "Nikkei" 16726.55 2 2 "-.0168940720972733" . . 1 1 1 21993 "Pershing Square Holdings, Ltd" 13.82 -4 "-.0819333827626862" "Nikkei" 16552.83 2 2 "-.0104401931718402" . . 1 1 1 21994 "Pershing Square Holdings, Ltd" 13.71 -3 "-.0079913247653007" "Nikkei" 16552.83 2 2 "0" . . 1 1 1 21997 "Pershing Square Holdings, Ltd" 13.79 -2 ".0058181982309873" "Nikkei" 16887.78 2 2 ".0200331992761391" . . 1 1 1 21998 "Pershing Square Holdings, Ltd" 15.5 -1 ".1168963321199905" "Nikkei" 18092.35 2 2 ".068898913535829" . . 1 1 1 21999 "Pershing Square Holdings, Ltd" 18 0 ".1495317339709638" "Nikkei" 19546.63 2 2 ".0773136960602916" . . 1 1 1 22000 "Pershing Square Holdings, Ltd" 18.179001 1 ".0098953788482848" "Nikkei" 18664.6 2 2 "-.0461742114038204" . . 1 1 1 22001 "Pershing Square Holdings, Ltd" 18.049999 2 "-.0071215073672231" "Nikkei" 19389.43 2 2 ".0380993905742421" . . 1 1 1 22004 "Pershing Square Holdings, Ltd" 18.049999 3 "0" "Nikkei" 19084.97 2 2 "-.0158269579454474" . . 1 1 1 22005 "Pershing Square Holdings, Ltd" 18.139999 4 ".004973760182971" "Nikkei" 18917.01 2 2 "-.0088395969724083" . . 1 1 1 22006 "Pershing Square Holdings, Ltd" 17.459999 5 "-.0382068964225115" "Nikkei" 18065.41 2 2 "-.0460624571457277" . . 1 1 1 22007 "Pershing Square Holdings, Ltd" 17.549999 6 ".0051413997941303" "Nikkei" 17818.72 2 2 "-.0137494701050597" . . 1 1 1 22008 "Pershing Square Holdings, Ltd" 16.924999 7 "-.0362621332176742" "Nikkei" 17820.19 2 2 ".000082494105506" . . 1 1 1 22011 "Pershing Square Holdings, Ltd" 18.040001 8 ".0637998103527067" "Nikkei" 18576.3 2 2 ".0415544905327776" . . 1 1 1 22012 "Pershing Square Holdings, Ltd" 18.4 9 ".0197590945480913" "Nikkei" 18950.18 2 2 ".019926855468133" . . 1 1 1 22013 "Pershing Square Holdings, Ltd" 19 10 ".0320883145515007" "Nikkei" 19353.24 2 2 ".0210464171553703" . . 1 1 1 21987 "The Adani Group" 148.75 -11 "NA" "NSE (India)" 9955.2 3 3 "NA" . . 1 1 0 21990 "The Adani Group" 134.699997 -10 "-.099216983281136" "NSE (India)" 9197.4 3 3 "-.0791741923032013" . . 1 1 0 21991 "The Adani Group" 133.399994 -9 "-.0096979726405921" "NSE (India)" 8967.05 3 3 "-.0253640874627229" . . 1 1 0 21992 "The Adani Group" 130.199997 -8 "-.0242803817710171" "NSE (India)" 8468.8 3 3 "-.0571679258336707" . . 1 1 0 21993 "The Adani Group" 128.899994 -7 "-.0100348433355647" "NSE (India)" 8263.45 3 3 "-.0245466462460548" . . 1 1 0 21994 "The Adani Group" 137.699997 -6 ".0660405205506874" "NSE (India)" 8745.45 3 3 ".0566913892471043" . . 1 1 0 21997 "The Adani Group" 120.900002 -5 "-.1301136097847725" "NSE (India)" 7610.25 3 3 "-.1390375422774706" . . 1 1 0 21998 "The Adani Group" 130.350006 -4 ".0752594122460851" "NSE (India)" 7801.05 3 3 ".0247623171751587" . . 1 1 0 21999 "The Adani Group" 132.300003 -3 ".0148489073872175" "NSE (India)" 8317.85 3 3 ".0641454679567434" . . 1 1 0 22000 "The Adani Group" 140.25 -2 ".0583544506061589" "NSE (India)" 8641.45 3 3 ".0381665848320867" . . 1 1 0 22001 "The Adani Group" 128 -1 "-.0913962804831886" "NSE (India)" 8660.25 3 3 ".0021731977087839" . . 1 1 0 22004 "The Adani Group" 128.699997 0 ".0054538273724402" "NSE (India)" 8281.1 3 3 "-.0447677807030354" . . 1 1 0 22005 "The Adani Group" 137.600006 1 ".0668668778118362" "NSE (India)" 8597.75 3 3 ".0375247313070315" . . 1 1 0 22006 "The Adani Group" 133.949997 2 "-.0268843955096926" "NSE (India)" 8253.8 3 3 "-.0408268407611473" . . 1 1 0 22008 "The Adani Group" 129.050003 3 "-.0372666241827747" "NSE (India)" 8083.8 3 3 "-.0208116413530665" . . 1 1 0 22012 "The Adani Group" 138.149994 4 ".0681400585269452" "NSE (India)" 8792.2 3 3 ".0840029057875538" . . 1 1 0 22013 "The Adani Group" 138.100006 5 "-.0003619040763481" "NSE (India)" 8748.75 3 3 "-.0049541317736615" . . 1 1 0 22014 "The Adani Group" 142.449997 6 ".0310129360218728" "NSE (India)" 9111.9 3 3 ".0406704185239785" . . 1 1 0 22018 "The Adani Group" 146 7 ".0246155818244405" "NSE (India)" 8993.85 3 3 "-.0130402411213412" . . 1 1 0 22020 "The Adani Group" 145.25 8 "-.0051502259763158" "NSE (India)" 8925.3 3 3 "-.0076510698780881" . . 1 1 0 22021 "The Adani Group" 143.300003 9 "-.0135160399627934" "NSE (India)" 8992.8 3 3 ".0075343166192884" . . 1 1 0 22022 "The Adani Group" 143.899994 10 ".0041782164284721" "NSE (India)" 9266.75 3 3 ".0300084676283519" . . 1 1 0 21990 "Las Vegas Sands Corp" 40.389999 -11 "NA" "NYSE" 20188.52 4 4 "NA" . . 1 1 1 21991 "Las Vegas Sands Corp" 40.860001 -10 ".0115694090465709" "NYSE" 21237.38 4 4 ".0506487105772556" . . 1 1 1 21992 "Las Vegas Sands Corp" 37.68 -9 "-.0810221641551263" "NYSE" 19898.92 4 4 "-.0650973776985897" . . 1 1 1 21993 "Las Vegas Sands Corp" 40.360001 -8 ".0687097705542524" "NYSE" 20087.19 4 4 ".0094168395607423" . . 1 1 1 21994 "Las Vegas Sands Corp" 43.310001 -7 ".0705443580534762" "NYSE" 19173.98 4 4 "-.0465281468865705" . . 1 1 1 21997 "Las Vegas Sands Corp" 43.450001 -6 ".0032272964104697" "NYSE" 18591.93 4 4 "-.0308265359729192" . . 1 1 1 21998 "Las Vegas Sands Corp" 44.84 -5 ".0314897234775987" "NYSE" 20704.91 4 4 ".1076432546097704" . . 1 1 1 21999 "Las Vegas Sands Corp" 47.349998 -4 ".0544661791894788" "NYSE" 21200.55 4 4 ".0236562545257269" . . 1 1 1 22000 "Las Vegas Sands Corp" 48.360001 -3 ".0211062690314002" "NYSE" 22552.17 4 4 ".0618041671798207" . . 1 1 1 22001 "Las Vegas Sands Corp" 42.099998 -2 "-.1386253532424418" "NYSE" 21636.78 4 4 "-.0414366475320643" . . 1 1 1 22004 "Las Vegas Sands Corp" 43.490002 -1 ".032483379414733" "NYSE" 22327.48 4 4 ".0314235624337231" . . 1 1 1 22005 "Las Vegas Sands Corp" 42.470001 0 "-.0237331047259172" "NYSE" 21917.16 4 4 "-.0185483151770161" . . 1 1 1 22006 "Las Vegas Sands Corp" 40.299999 1 "-.0524465237324708" "NYSE" 20943.51 4 4 "-.0454410784701978" . . 1 1 1 22007 "Las Vegas Sands Corp" 40.27 2 "-.0007446692753784" "NYSE" 21413.44 4 4 ".0221899491061047" . . 1 1 1 22008 "Las Vegas Sands Corp" 37.919998 3 "-.0601281502191593" "NYSE" 21052.53 4 4 "-.0169980193481384" . . 1 1 1 22011 "Las Vegas Sands Corp" 40.700001 4 ".0707494923743699" "NYSE" 22679.99 4 4 ".0744622950124455" . . 1 1 1 22012 "Las Vegas Sands Corp" 42.700001 5 ".0479708266352087" "NYSE" 22653.86 4 4 "-.0011527811069958" . . 1 1 1 22013 "Las Vegas Sands Corp" 46.549999 6 ".0863280385870164" "NYSE" 23433.57 4 4 ".0338393528354159" . . 1 1 1 22014 "Las Vegas Sands Corp" 47.860001 7 ".0277531211337032" "NYSE" 23719.37 4 4 ".0121224042409457" . . 1 1 1 22018 "Las Vegas Sands Corp" 46.490002 8 "-.0290428246520053" "NYSE" 23390.77 4 4 "-.0139505138061738" . . 1 1 1 22019 "Las Vegas Sands Corp" 48.130001 9 ".0346684253695832" "NYSE" 23949.76 4 4 ".0236168028243494" . . 1 1 1 22020 "Las Vegas Sands Corp" 47.099998 10 "-.0216327455325538" "NYSE" 23504.35 4 4 "-.0187727925268688" . . 1 1 1 21979 "Vedanta Group " 117.099998 -11 "NA" "NSE (India)" 11269 3 5 "NA" . . 1 1 0 21980 "Vedanta Group " 111.050003 -10 "-.0530476761689579" "NSE (India)" 10989.45 3 5 "-.0251198713029051" . . 1 1 0 21983 "Vedanta Group " 94.900002 -9 "-.1571568506645967" "NSE (India)" 10451.45 3 5 "-.0501949969013464" . . 1 1 0 21985 "Vedanta Group " 92 -8 "-.0310351496416573" "NSE (India)" 10458.4 3 5 ".0006647584995527" . . 1 1 0 21986 "Vedanta Group " 79.849998 -7 "-.1416387274349822" "NSE (India)" 9590.15 3 5 "-.0866689531994766" . . 1 1 0 21987 "Vedanta Group " 84.050003 -6 ".0512620459336059" "NSE (India)" 9955.2 3 5 ".0373584976551444" . . 1 1 0 21990 "Vedanta Group " 74.849998 -5 "-.1159258114021337" "NSE (India)" 9197.4 3 5 "-.0791741923032013" . . 1 1 0 21991 "Vedanta Group " 75 -4 ".0020020293907804" "NSE (India)" 8967.05 3 5 "-.0253640874627229" . . 1 1 0 21992 "Vedanta Group " 72.949997 -3 "-.0277138796915743" "NSE (India)" 8468.8 3 5 "-.0571679258336707" . . 1 1 0 21993 "Vedanta Group " 69.349998 -2 "-.0506081159231174" "NSE (India)" 8263.45 3 5 "-.0245466462460548" . . 1 1 0 21994 "Vedanta Group " 75.449997 -1 ".0843040275308069" "NSE (India)" 8745.45 3 5 ".0566913892471043" . . 1 1 0 21997 "Vedanta Group " 62.650002 0 "-.185906432186965" "NSE (India)" 7610.25 3 5 "-.1390375422774706" . . 1 1 0 end format %td date
SECURITY RETURNS FILE
Code:
* Example generated by -dataex-. For more info, type help dataex clear input int date byte cocode str33 coname double close byte daycount str18 sec_ret byte mkt_ref 21977 1 "EVRAZ plc" 330.6 -11 "NA" 1 21978 1 "EVRAZ plc" 328.399994 -10 "-.0066768260790529" 1 21979 1 "EVRAZ plc" 289.299988 -9 "-.1267681888052156" 1 21980 1 "EVRAZ plc" 269.100006 -8 "-.0723810904732514" 1 21983 1 "EVRAZ plc" 232.300003 -7 "-.1470534273387057" 1 21984 1 "EVRAZ plc" 246.800003 -6 ".0605486514961259" 1 21985 1 "EVRAZ plc" 247.300003 -5 ".0020238824715611" 1 21986 1 "EVRAZ plc" 203.399994 -4 "-.1954277325424515" 1 21987 1 "EVRAZ plc" 228.800003 -3 ".1176738185015968" 1 21990 1 "EVRAZ plc" 243.300003 -2 ".0614469895024022" 1 21991 1 "EVRAZ plc" 249.699997 -1 ".025964923151377" 1 21992 1 "EVRAZ plc" 230.5 0 "-.080009322834607" 1 21993 1 "EVRAZ plc" 209.800003 1 "-.0940961521751738" 1 21994 1 "EVRAZ plc" 224.399994 2 ".0672754366490436" 1 21997 1 "EVRAZ plc" 210.100006 3 "-.0658465105017889" 1 21998 1 "EVRAZ plc" 252.100006 4 ".1822422215851693" 1 21999 1 "EVRAZ plc" 254.300003 5 ".0086888262312108" 1 22000 1 "EVRAZ plc" 250.5 6 "-.0150557637002445" 1 22001 1 "EVRAZ plc" 239.899994 7 "-.043236775689692" 1 22004 1 "EVRAZ plc" 226.699997 8 "-.0565946005550923" 1 22005 1 "EVRAZ plc" 231.600006 9 ".0213842273254405" 1 22006 1 "EVRAZ plc" 226.199997 10 "-.0235922211861551" 1 21984 2 "Pershing Square Holdings, Ltd" 18.15 -11 "NA" 2 21985 2 "Pershing Square Holdings, Ltd" 17.594999 -10 "-.0310558467716407" 2 21986 2 "Pershing Square Holdings, Ltd" 16.549999 -9 "-.0612286725391097" 2 21987 2 "Pershing Square Holdings, Ltd" 17.735001 -8 ".0691541032111524" 2 21990 2 "Pershing Square Holdings, Ltd" 16.584999 -7 "-.0670415325076954" 2 21991 2 "Pershing Square Holdings, Ltd" 16.440001 -6 "-.0087811616482837" 2 21992 2 "Pershing Square Holdings, Ltd" 15 -5 "-.0916672493530725" 2 21993 2 "Pershing Square Holdings, Ltd" 13.82 -4 "-.0819333827626862" 2 21994 2 "Pershing Square Holdings, Ltd" 13.71 -3 "-.0079913247653007" 2 21997 2 "Pershing Square Holdings, Ltd" 13.79 -2 ".0058181982309873" 2 21998 2 "Pershing Square Holdings, Ltd" 15.5 -1 ".1168963321199905" 2 21999 2 "Pershing Square Holdings, Ltd" 18 0 ".1495317339709638" 2 22000 2 "Pershing Square Holdings, Ltd" 18.179001 1 ".0098953788482848" 2 22001 2 "Pershing Square Holdings, Ltd" 18.049999 2 "-.0071215073672231" 2 22004 2 "Pershing Square Holdings, Ltd" 18.049999 3 "0" 2 22005 2 "Pershing Square Holdings, Ltd" 18.139999 4 ".004973760182971" 2 22006 2 "Pershing Square Holdings, Ltd" 17.459999 5 "-.0382068964225115" 2 22007 2 "Pershing Square Holdings, Ltd" 17.549999 6 ".0051413997941303" 2 22008 2 "Pershing Square Holdings, Ltd" 16.924999 7 "-.0362621332176742" 2 22011 2 "Pershing Square Holdings, Ltd" 18.040001 8 ".0637998103527067" 2 22012 2 "Pershing Square Holdings, Ltd" 18.4 9 ".0197590945480913" 2 22013 2 "Pershing Square Holdings, Ltd" 19 10 ".0320883145515007" 2 21987 3 "The Adani Group" 148.75 -11 "NA" 3 21990 3 "The Adani Group" 134.699997 -10 "-.099216983281136" 3 21991 3 "The Adani Group" 133.399994 -9 "-.0096979726405921" 3 21992 3 "The Adani Group" 130.199997 -8 "-.0242803817710171" 3 21993 3 "The Adani Group" 128.899994 -7 "-.0100348433355647" 3 21994 3 "The Adani Group" 137.699997 -6 ".0660405205506874" 3 21997 3 "The Adani Group" 120.900002 -5 "-.1301136097847725" 3 21998 3 "The Adani Group" 130.350006 -4 ".0752594122460851" 3 21999 3 "The Adani Group" 132.300003 -3 ".0148489073872175" 3 22000 3 "The Adani Group" 140.25 -2 ".0583544506061589" 3 22001 3 "The Adani Group" 128 -1 "-.0913962804831886" 3 22004 3 "The Adani Group" 128.699997 0 ".0054538273724402" 3 22005 3 "The Adani Group" 137.600006 1 ".0668668778118362" 3 22006 3 "The Adani Group" 133.949997 2 "-.0268843955096926" 3 22008 3 "The Adani Group" 129.050003 3 "-.0372666241827747" 3 22012 3 "The Adani Group" 138.149994 4 ".0681400585269452" 3 22013 3 "The Adani Group" 138.100006 5 "-.0003619040763481" 3 22014 3 "The Adani Group" 142.449997 6 ".0310129360218728" 3 22018 3 "The Adani Group" 146 7 ".0246155818244405" 3 22020 3 "The Adani Group" 145.25 8 "-.0051502259763158" 3 22021 3 "The Adani Group" 143.300003 9 "-.0135160399627934" 3 22022 3 "The Adani Group" 143.899994 10 ".0041782164284721" 3 21990 4 "Las Vegas Sands Corp" 40.389999 -11 "NA" 4 21991 4 "Las Vegas Sands Corp" 40.860001 -10 ".0115694090465709" 4 21992 4 "Las Vegas Sands Corp" 37.68 -9 "-.0810221641551263" 4 21993 4 "Las Vegas Sands Corp" 40.360001 -8 ".0687097705542524" 4 21994 4 "Las Vegas Sands Corp" 43.310001 -7 ".0705443580534762" 4 21997 4 "Las Vegas Sands Corp" 43.450001 -6 ".0032272964104697" 4 21998 4 "Las Vegas Sands Corp" 44.84 -5 ".0314897234775987" 4 21999 4 "Las Vegas Sands Corp" 47.349998 -4 ".0544661791894788" 4 22000 4 "Las Vegas Sands Corp" 48.360001 -3 ".0211062690314002" 4 22001 4 "Las Vegas Sands Corp" 42.099998 -2 "-.1386253532424418" 4 22004 4 "Las Vegas Sands Corp" 43.490002 -1 ".032483379414733" 4 22005 4 "Las Vegas Sands Corp" 42.470001 0 "-.0237331047259172" 4 22006 4 "Las Vegas Sands Corp" 40.299999 1 "-.0524465237324708" 4 22007 4 "Las Vegas Sands Corp" 40.27 2 "-.0007446692753784" 4 22008 4 "Las Vegas Sands Corp" 37.919998 3 "-.0601281502191593" 4 22011 4 "Las Vegas Sands Corp" 40.700001 4 ".0707494923743699" 4 22012 4 "Las Vegas Sands Corp" 42.700001 5 ".0479708266352087" 4 22013 4 "Las Vegas Sands Corp" 46.549999 6 ".0863280385870164" 4 22014 4 "Las Vegas Sands Corp" 47.860001 7 ".0277531211337032" 4 22018 4 "Las Vegas Sands Corp" 46.490002 8 "-.0290428246520053" 4 22019 4 "Las Vegas Sands Corp" 48.130001 9 ".0346684253695832" 4 22020 4 "Las Vegas Sands Corp" 47.099998 10 "-.0216327455325538" 4 21979 5 "Vedanta Group " 117.099998 -11 "NA" 3 21980 5 "Vedanta Group " 111.050003 -10 "-.0530476761689579" 3 21983 5 "Vedanta Group " 94.900002 -9 "-.1571568506645967" 3 21985 5 "Vedanta Group " 92 -8 "-.0310351496416573" 3 21986 5 "Vedanta Group " 79.849998 -7 "-.1416387274349822" 3 21987 5 "Vedanta Group " 84.050003 -6 ".0512620459336059" 3 21990 5 "Vedanta Group " 74.849998 -5 "-.1159258114021337" 3 21991 5 "Vedanta Group " 75 -4 ".0020020293907804" 3 21992 5 "Vedanta Group " 72.949997 -3 "-.0277138796915743" 3 21993 5 "Vedanta Group " 69.349998 -2 "-.0506081159231174" 3 21994 5 "Vedanta Group " 75.449997 -1 ".0843040275308069" 3 21997 5 "Vedanta Group " 62.650002 0 "-.185906432186965" 3 end format %td date
MARKET RETURNS FILE
Code:
* Example generated by -dataex-. For more info, type help dataex clear input int date double mkt_close byte mkt_ref double mkt_ret 21916 7604.3 1 . 21917 7622.4 1 .002377403971336284 21920 7575.34 1 -.006193045862186034 21921 7573.85 1 -.00019671018777956016 21922 7574.93 1 .00014258573981937276 21923 7598.12 1 .00305673784197539 21924 7587.85 1 -.0013525644480645005 21927 7617.6 1 .003913075635563525 21928 7622.35 1 .0006233616453876346 21929 7642.8 1 .002679307079678465 21930 7609.81 1 -.004325823769762134 21931 7674.56 1 .008472758426242195 21934 7651.44 1 -.0030170974211415347 21935 7610.7 1 -.005338713543942932 21936 7571.92 1 -.00510848382367441 21937 7507.67 1 -.008521503409284337 21938 7585.98 1 .010376642186072366 21941 7412.05 1 -.023194752609739088 21942 7480.69 1 .009217979503337526 21943 7483.57 1 .0003849171339657623 21944 7381.96 1 -.013670764847879604 21945 7286.01 1 -.013083114926750647 21948 7326.31 1 .005515907423055016 21949 7439.82 1 .015374676500263194 21950 7482.48 1 .005717632833758462 21951 7504.79 1 .002977195510467406 21952 7466.7 1 -.005088348879536807 21955 7446.88 1 -.0026579817413127237 21956 7499.44 1 .007033198360582531 21957 7534.37 1 .004646867674222965 21958 7452.03 1 -.010988740265992817 21959 7409.13 1 -.005773454987986225 21962 7433.25 1 .0032501554646426852 21963 7382.01 1 -.006917219719463834 21964 7457.02 1 .010109911348451888 21965 7436.64 1 -.0027367366678241207 21966 7403.92 1 -.0044095442513637775 21969 7156.83 1 -.03394244417735755 21970 7017.88 1 -.019605967378969576 21971 7042.47 1 .0034977827821487113 21972 6796.4 1 -.03556590067894574 21973 6580.61 1 -.03226561402192592 21976 6654.89 1 .011224476577310464 21977 6718.2 1 .009468338727218214 21978 6815.59 1 .01439237362354672 21979 6705.43 1 -.016294989212955108 21980 6462.55 1 -.03689366917413605 21983 5965.77 1 -.07998584319260384 21984 5960.23 1 -.0009290626192339102 21985 5876.52 1 -.014144320965337217 21986 5237.48 1 -.11512428334613645 21987 5366.11 1 .024262784609032723 21990 5151.08 1 -.0408968498065408 21991 5294.9 1 .02753769170606137 21992 5080.58 1 -.04131866483229649 21993 5151.61 1 .013883858877522947 21994 5190.78 1 .0075746877238823725 21997 4993.89 1 -.038668809719597214 21998 5446.01 1 .08666806527666653 21999 5688.2 1 .04351062316685803 22000 5815.73 1 .022172461867932133 22001 5510.33 1 -.053941803016234316 22004 5563.74 1 .009646031518900948 22005 5671.96 1 .01926419302138047 22006 5454.57 1 -.039080947605176726 22007 5480.22 1 .00469145672589195 22008 5415.5 1 -.011880033845842419 22011 5582.39 1 .03035178781088864 22012 5704.45 1 .021629571901250744 22013 5677.73 1 -.0046950670405587 22014 5842.66 1 .028634667627676524 22019 5791.31 1 -.00882765444027335 22020 5597.65 1 -.03401165134338283 22021 5628.43 1 .005483673220079667 22022 5786.96 1 .027776570494240777 22025 5812.83 1 .004460432971853206 22026 5641.03 1 -.030000870545740316 22027 5770.63 1 .022714587051963577 22028 5826.61 1 .00965409610987724 22029 5752.23 1 -.012847750400412802 22032 5846.79 1 .016305186983142244 22033 5958.5 1 .01892597885446443 22034 6115.25 1 .02596687982912886 22035 5901.21 1 -.035628236747417955 22036 5763.06 1 -.023688830985958458 22039 5753.78 1 -.0016115535178796137 22040 5849.42 1 .016485480902802892 22041 5853.76 1 .0007416787913967062 22042 5935.98 1 .013947946766369661 22046 5939.73 1 .0006315412088438092 22047 5994.77 1 .009223744643080399 22048 5904.05 1 -.015248866342090755 22049 5741.54 1 -.027911089066643347 22050 5799.77 1 .010090794563316657 22053 6048.59 1 .04200692543563637 22054 6002.23 1 -.007694120185534273 22055 6067.16 1 .010759553945999176 22056 6015.25 1 -.008592709467072041 22057 5993.28 1 -.0036590697633499835 22061 6067.76 1 .012350667397874082 end format %td date
I have used the following -eventstudy2- command and have received the message
"Generating dateline ...
type mismatch
r(109);"
eventstudy2 cocode date using sec_ret, returns(sec_ret) model(abnormal_return_model) marketfile(mkt_ret) marketreturns(mkt_ret) idmarket(mkt_ref) factor1(Security_returns1) factor2(Security_returns2) evwlb(-10) evwub(10) eswlb(-8) eswub(8) aarfile(output_average_abn_ret_file) carfile(output_cum_average_abn_ret_file) arfile(output_abn_ret_file) car1LB(-5) car1UB(5) car2LB(-3) car2UB(3) car3LB(-1) car3UB(1) car4LB(0) car4UB(1) car5LB(0) car5UB(5) car6LB(0) car6UB(3) car7LB(0) car7UB(10)
Kindly advise.
Thank you in advance.
Best wishes,
Avik
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