Dear all,
I am conducting an event-study using Thomas Kaspereit's eventstudy2 Stata command.
I have issues calculating the Abnormal Returns for day 1 in my event window (eventstudy2 outputs Zero, see below). This is because my event day is April, 30th, 2009. Day 1 is therefore May 1st (Labour Day), a day without obsreved stock returns. In fact, May 1st is not even part of my return dataset.
I would like to shift day 1 in the event window to the next trading day (in this case May, 4th, 2009) so that I no longer .
Is there a workaround here?
Thank you very much in advance!
Greetings from Berlin
Marcel
I am conducting an event-study using Thomas Kaspereit's eventstudy2 Stata command.
I have issues calculating the Abnormal Returns for day 1 in my event window (eventstudy2 outputs Zero, see below). This is because my event day is April, 30th, 2009. Day 1 is therefore May 1st (Labour Day), a day without obsreved stock returns. In fact, May 1st is not even part of my return dataset.
I would like to shift day 1 in the event window to the next trading day (in this case May, 4th, 2009) so that I no longer .
Is there a workaround here?
Thank you very much in advance!
Greetings from Berlin
Marcel
Code:
eventstudy2 security_id Date using security_return, returns(return) model(FM) marketfile(Fac_returns) marketreturns(MktRF) evwlb(-1) evwub(5) eswlb(-150) delweekend eswub(-10) aarfile(aar_CAPM) carfile(car_CAPM) datelinethreshold(0.2) arfile(ar_CAPM) crossfile(cross_CAPM) graphfile(ar_graph) shift(5) diagnosticsfile(diagnostics_CAPM) replace
