testing a dummy variable in standard event study

[Shawn DuBravac]

I’m doing an event study using the syntax from Princeton: http://dss.princeton.edu/online_help...ventstudy.html

I’m testing stock response to a given public announcement. I have also created a dummy variable that indicates if announcement mentioned a keyword. How do I test the significance of the dummy?

[Steve Samuels]

Let the dummy variable be keyword. Starting from the Princeton example, here's a command that tests the whether the average abnormal response differs between companies whose announcements did and did not mention of the keyword.

reg cumulative_abnormal_return keyword if dif==0, robust

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