Problem with Estudy command

[Max Kerk]

Hello,

I'm encountering a problem when using the estudy command from Pacicco, Vena and Venegoni.
In the picture below I provided an example of only two securities highlighting the problem, it doesn't matter if I change the inputs, the problem stays. I used the command to calculate the CAR on security level and CAAR on group level (to my understanding). However, the CAAR group 1 is not the average of the two CARs. Shouldn't the CAAR be -24.42% in the [-10,10] window?


I don't understand how this is happening and don't see how this can be related to my data.

Thank you in advance,

Max Kerkhoff

[Max Kerk]

The picture disappeared from the original question, here is another example. Again the CAAR is not the average of the 3 CARs

[Christian Balle]

I am just now having the exact same issue with the command. I can't get it to make sense. Hopefully someone can help us