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Article (Périodiques scientifiques)

Event studies with daily stock returns in Stata: Which command to use?

KASPEREIT, Thomas

2021 • In Stata Journal, 21 (2), p. 462-497

Peer reviewed vérifié par ORBi

Permalien
https://hdl.handle.net/10993/44937

DOI
10.1177/1536867X211025835

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Détails

Mots-clés :

event studies; estudy; eventstudy2

Résumé :

[en] This article provides an overview of existing community-contributed commands for executing event studies. I assess which command(s) could have been used to conduct event studies that have appeared in the past ten years in three leading accounting, finance and management journals. The older command eventstudy provides a comfortable graphical user interface and good functionality for event studies that do not require hypotheses testing. The command estudy described in Pacicco et al. (2018, Stata Journal 18(2), pp. 416–476; 2020, Stata Journal, forthcoming) provides a set of commonly applied test statistics, useful exporting routines to spreadsheet software and LATEX for event studies with a limited number of events. The most complete command in terms of available test statistics and benchmark models as well as its ability to handle events with insufficient data, thin trading and large samples is eventstudy2

Disciplines :

Finance

Auteur, co-auteur :

KASPEREIT, Thomas ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Economics and Management (DEM)

Co-auteurs externes :

no

Langue du document :

Anglais

Titre :

Event studies with daily stock returns in Stata: Which command to use?

Date de publication/diffusion :

2021

Titre du périodique :

Stata Journal

ISSN :

1536-867X

Maison d'édition :

Stata Press, College Station, Etats-Unis - Texas

Volume/Tome :

21

Fascicule/Saison :

2

Pagination :

462-497

Peer reviewed :

Peer reviewed vérifié par ORBi

Focus Area :

Computational Sciences

Disponible sur ORBilu :

depuis le 06 décembre 2020

Statistiques

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Nombre de téléchargements

4134 (dont 21 Unilu)

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citations Scopus^®

11

citations Scopus^®
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OpenCitations

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citations OpenAlex

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citations WoS^™

8

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