I have a sample of 300 companies over the period of 5 years. Each company has one event per year and all event dates are almost different. Is there any short way to do event study instead of doing for each company and each year in Excel?
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$\begingroup$ I would be interested to know what you did after all, I am facing the same situation at the moment $\endgroup$– HSAPCommented Mar 22, 2019 at 11:38
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$\begingroup$ You need to write a program to do the calculations, instead of doing everything by hand in Excel.. $\endgroup$– nbbo2Commented Apr 22, 2019 at 0:21
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$\begingroup$ The late Professor Simon Beninga's book and accompanying give away excel files contained a few complete event studies in his last 2013 edition befor he passed away.The book is Financial Modeling using excel, it is a great primer on orthodox finance. $\endgroup$– Con FluentsyCommented Sep 26, 2021 at 6:43
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$\begingroup$ There is great packages in R see my reply below, there is 2 others apart from the one I have tried and use now frequently. $\endgroup$– Con FluentsyCommented Sep 26, 2021 at 6:45
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2 Answers
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You just have to treat every event as day zero and look at the other days relative to the event day. So the estimation period will be something like days -260 to -11. After that you can calculate tej abnormal returns around the event date.
Then, just take for example every day 1 abnormal return (5 tines 300 in your example) and test them against zero or whatever you want to check. The simplest thing would be a t-test with 1500 abnormal returns.
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If you are familiar with R statistical language a full library of event-study packages is implemented, the one I have used and it works well and it works with multiple stock tickers, I am not sure if there is a limit as 10 or so is enough for me, and I have not extended to 300, as you wish too. But it is simple quick efficient, the library is from the R cran repository called Estudy2.
