Issue encountered in eventstudy2 (Thomas Kaspereit)
Hello everyone, I am trying to use the eventstudy2 for my thesis and came across the issue that the security return and market return of the arfile do not match with the original files, i.e., thesis_security_return_excess and thesis_3factors. I have included an extract of the generated file and other related files below. For some reasons, the return(ri) of the arfile do not match with the one in the security return file (thesis_security_return_excess) and there are missing values in the MKT column of the arfile but not in the original factor file (thesis_3factors). I wonder what would be the possible reasons causing this issue.
I have used the following syntax to execute the package
cd "C:\Desktop\factor model"
use "thesis_event_data.dta",clear
eventstudy2 symbol date using thesis_security_return_excess,returns(ri) model(FM) marketfile(thesis_3factors) marketreturn(MKT) evwlb(-1) evwub(10) eswlb(-120) eswub(-20)
The result of the arfile generated by eventstudy2
date symbol ri MKT original_event_date _BETA AR
...
14sep2021 4DSGDE .02283305 -.1392621 24feb2022 .0082946 .0194601
15sep2021 4DSGDE -.03792369 -.8675006 24feb2022 .0082946 -.0352562
16sep2021 4DSGDE .00938981 .0099503 24feb2022 .0082946 .0047792
17sep2021 4DSGDE -.004717 24feb2022 .0082946
20sep2021 4DSGDE -.01923195 24feb2022 .0082946
21sep2021 4DSGDE .00478471 .722706 24feb2022 .0082946 -.005738
22sep2021 4DSGDE .00476192 .5709795 24feb2022 .0082946 -.0045022
23sep2021 4DSGDE -.00478471 .8415672 24feb2022 .0082946 -.0162933
24sep2021 4DSGDE -.02451224 24feb2022 .0082946
...
The security return file (thesis_security_return_excess)
date symbol ri
...
14sep2021 4DSGDE .02309571
15sep2021 4DSGDE -.0372136
16sep2021 4DSGDE .00943403
17sep2021 4DSGDE -.00470589
20sep2021 4DSGDE -.01904819
21sep2021 4DSGDE .00479617
22sep2021 4DSGDE .00477328
23sep2021 4DSGDE -.00477328
24sep2021 4DSGDE -.02421426
...
The market factors file (thesis_3factors)
date MKT SMB HML
...
14sep2021 -.13 -.25 -.52
15sep2021 -.58 -.06 1.04
16sep2021 .01 .03 -.55
17sep2021 -1.08 .73 -.27
20sep2021 -1.8 -.25 -.66
21sep2021 1.06 -.69 -.51
22sep2021 .77 -.11 1
23sep2021 1.32 -.01 -.17
24sep2021 -1.04 .28 1.03
...
I have used the following syntax to execute the package
cd "C:\Desktop\factor model"
use "thesis_event_data.dta",clear
eventstudy2 symbol date using thesis_security_return_excess,returns(ri) model(FM) marketfile(thesis_3factors) marketreturn(MKT) evwlb(-1) evwub(10) eswlb(-120) eswub(-20)
The result of the arfile generated by eventstudy2
date symbol ri MKT original_event_date _BETA AR
...
14sep2021 4DSGDE .02283305 -.1392621 24feb2022 .0082946 .0194601
15sep2021 4DSGDE -.03792369 -.8675006 24feb2022 .0082946 -.0352562
16sep2021 4DSGDE .00938981 .0099503 24feb2022 .0082946 .0047792
17sep2021 4DSGDE -.004717 24feb2022 .0082946
20sep2021 4DSGDE -.01923195 24feb2022 .0082946
21sep2021 4DSGDE .00478471 .722706 24feb2022 .0082946 -.005738
22sep2021 4DSGDE .00476192 .5709795 24feb2022 .0082946 -.0045022
23sep2021 4DSGDE -.00478471 .8415672 24feb2022 .0082946 -.0162933
24sep2021 4DSGDE -.02451224 24feb2022 .0082946
...
The security return file (thesis_security_return_excess)
date symbol ri
...
14sep2021 4DSGDE .02309571
15sep2021 4DSGDE -.0372136
16sep2021 4DSGDE .00943403
17sep2021 4DSGDE -.00470589
20sep2021 4DSGDE -.01904819
21sep2021 4DSGDE .00479617
22sep2021 4DSGDE .00477328
23sep2021 4DSGDE -.00477328
24sep2021 4DSGDE -.02421426
...
The market factors file (thesis_3factors)
date MKT SMB HML
...
14sep2021 -.13 -.25 -.52
15sep2021 -.58 -.06 1.04
16sep2021 .01 .03 -.55
17sep2021 -1.08 .73 -.27
20sep2021 -1.8 -.25 -.66
21sep2021 1.06 -.69 -.51
22sep2021 .77 -.11 1
23sep2021 1.32 -.01 -.17
24sep2021 -1.04 .28 1.03
...
