IDEAS home Printed from https://ideas.repec.org/a/tsj/stataj/v21y2021i2p462-497.html
   My bibliography  Save this article

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

Author

Listed:
  • Thomas Kaspereit

    (University of Luxembourg)

Abstract

In this article, I provide an overview of existing community-contributed commands for executing event studies. I assess which command could have been used to conduct event studies that have appeared in the past 10 years in 3 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, Vena, and Venegoni (2018, Stata Journal 18: 461–476; 2021, Stata Journal 21: 141–151), provides a set of commonly applied test statistics and 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.

Suggested Citation

  • Thomas Kaspereit, 2021. "Event studies with daily stock returns in Stata: Which command to use?," Stata Journal, StataCorp LP, vol. 21(2), pages 462-497, June.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:2:p:462-497
    DOI: 10.1177/1536867X211025835
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-2/st0643/
    as

    Download full text from publisher

    File URL: http://www.stata-journal.com/article.html?article=st0643
    File Function: link to article purchase
    Download Restriction: no
    File URL: https://libkey.io/10.1177/1536867X211025835?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. André D. Gimenes & Jéfferson A. Colombo & Imran Yousaf, 2023. "Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
    2. repec:pra:mprapa:121191 is not listed on IDEAS
    3. Murod Aliyev & Timothy Devinney & Andrew Ferguson & Peter Lam, 2024. "Political discretion and risk: the Fukushima nuclear disaster, the distribution of global operations, and uranium company valuation," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 33(3), pages 738-761.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:21:y:2021:i:2:p:462-497. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum or Lisa Gilmore (email available below). General contact details of provider: http://www.stata-journal.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.