I would like to use the possibility in eventstudy2 to identify thin trading observations. However, I don't understand in which format I have to provides the variables trading volume and prices. I only understood that they have to be part of the factor_return dataset.
My current factor_return dataset has one observation each day of my 4 factors and the riskfree rate (see extract below)
does this mean that for each day in this dataset I get n new observations (number of securities) and have to match them with the security_id?
I would appreciate clarification on how Volume and Prices need to be integrated in my factor_return dataset.
Thank you for your help!
Date MktRF SMB HML RF oil
1. 7/2/1990 .0099 .0006 -.0056 .0003 .
2. 7/3/1990 .0033 -.0011 0 .0003 .
3. 7/4/1990 .0024 0 -.0019 .0003 .
4. 7/5/1990 -.0064 .002 .0008 .0003 .
5. 7/6/1990 .0007 -.0018 .0013 .0003 .
6. 7/9/1990 .0049 .0003 -.0025 .0003 .
7. 7/10/1990 .0001 .0036 -.0041 .0003 .
8. 7/11/1990 -.0034 -.0048 -.0006 .0003 .
9. 7/12/1990 .0062 -.0017 -.0001 .0003 .
10. 7/13/1990 .0048 -.0061 .0001 .0003 .
11. 7/16/1990 .003 -.0021 -.0024 .0003 .
12. 7/17/1990 .0056 .0014 .0028 .0003 .
13. 7/18/1990 .0011 -.0007 -.0003 .0003 .
14. 7/19/1990 -.0015 .0031 -.0017 .0003 .
15. 7/20/1990 .0034 -.0011 .0011 .0003 .
16. 7/23/1990 -.0007 .0067 -.0004 .0003 .
17. 7/24/1990 -.0039 0 .0014 .0003 .
18. 7/25/1990 .0014 -.0021 .0027 .0003 .
19. 7/26/1990 -.003 .0035 -.0014 .0003 .
20. 7/27/1990 .0021 .0049 -.0024 .0003 .
My current factor_return dataset has one observation each day of my 4 factors and the riskfree rate (see extract below)
does this mean that for each day in this dataset I get n new observations (number of securities) and have to match them with the security_id?
I would appreciate clarification on how Volume and Prices need to be integrated in my factor_return dataset.
Thank you for your help!
Date MktRF SMB HML RF oil
1. 7/2/1990 .0099 .0006 -.0056 .0003 .
2. 7/3/1990 .0033 -.0011 0 .0003 .
3. 7/4/1990 .0024 0 -.0019 .0003 .
4. 7/5/1990 -.0064 .002 .0008 .0003 .
5. 7/6/1990 .0007 -.0018 .0013 .0003 .
6. 7/9/1990 .0049 .0003 -.0025 .0003 .
7. 7/10/1990 .0001 .0036 -.0041 .0003 .
8. 7/11/1990 -.0034 -.0048 -.0006 .0003 .
9. 7/12/1990 .0062 -.0017 -.0001 .0003 .
10. 7/13/1990 .0048 -.0061 .0001 .0003 .
11. 7/16/1990 .003 -.0021 -.0024 .0003 .
12. 7/17/1990 .0056 .0014 .0028 .0003 .
13. 7/18/1990 .0011 -.0007 -.0003 .0003 .
14. 7/19/1990 -.0015 .0031 -.0017 .0003 .
15. 7/20/1990 .0034 -.0011 .0011 .0003 .
16. 7/23/1990 -.0007 .0067 -.0004 .0003 .
17. 7/24/1990 -.0039 0 .0014 .0003 .
18. 7/25/1990 .0014 -.0021 .0027 .0003 .
19. 7/26/1990 -.003 .0035 -.0014 .0003 .
20. 7/27/1990 .0021 .0049 -.0024 .0003 .
