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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 $\endgroup$ – HSAP Mar 22 at 11:38
  • $\begingroup$ You need to write a program to do the calculations, instead of doing everything by hand in Excel.. $\endgroup$ – noob2 Apr 22 at 0:21
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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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