# Questions tagged [event-study]

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### Can i use cross sectional absolute deviation to detect whether or not there is herding behavior in one specific year IPO

If I want to measure herding behavior of one specific year IPO, can I only use the initial return of every IPO stocks in that specific year for the CSAD regression?
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1 vote
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### Estimating the relationship between short-term intretes rates and 10Y bond yields

On the 16th of March 2020, the Polish Central Bank announced its first-ever round of Quantitative Easing. I am conducting an event study on how this announcement impacted the term structure. The main ...
1 vote
129 views

### State-of-the art factor models for intraday event studies

I want to do intraday event studies. For this purpose, I have stock data on a 15 minutes interval. What is/are currently the state-of-the art factor model(s) for calculating intraday (ab)normal ...
116 views

### Where to get datasets on stock market events/regimes and dates of them?

I am looking for a dataset that gets all events and regimes in the stock market (i.e. an event like 9/11 and a regime like Bush's presidency) and the start and end date of each item's effect on the ...
103 views

### Help interpret an event study methodology used in a famous research paper

I wonder if someone out there familiar with reading research articles, especially finance research can help me interpret which event study methodology the author uses in her famous research article. ...
7k views

### How to calculate the BHAR (Buy-and-Hold Abnormal Returns)?

I am doing my research related to IPOs long term performance. For the $\text{BHAR}$ (Buy-and-Hold Abnormal Returns) formula, I just want to clarify the formula is that always compare with the first ...
332 views

### Event Study t-test finding degrees of freedom for CAR and BHAR

I'm running an event study and calculate the mean cumulative average return and the mean buy-and-hold abnormal return. The t-test is straightforward: t_CAR = (Mean(CAR_it)) / (sigma(CAR_it) / sqrt(n)) ...
• 206
538 views

### Historical component changes of EURO STOXX 50 index

I would like to download the historical component changes of EURO STOXX 50 index to conduct an academic research. That is, I would like to know the historical changes to the composition of these ...
• 11
1 vote
55 views

### How does one explain the negative returns around the event of stock inclusion in DAX indices?

Greetings there friends, I am doing a small research on the effects of the event of inclusion and exclusion of a stock from DAX indices (german indices), to cut the story short, i have downloaded data ...
323 views

### How do ETFs like SPY/VOO handle Rebalance events?

When TSLA got added to the SP 500 Index, SPY, VOO, and others must-have gone ahead and bought the stock. My question is, about the process they use? Do they outsource to Banks? Do they buy it slowly ...
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1 vote
1k views

### How to do an event study for multiple companies with different event dates?

Hi everyone I would like to use Python (or any other program that works well such as R, Excel, etc.) to analyze the impact of an event. Suppose that I have the following dataset (company in the ...
• 11
681 views

### How to set up the dummy variable for OLS event study regression

I've been going back and forth with how I should work to find an event effect. would be so grateful for some clarification. I have daily time series of exchange rates for different countries ( 1 for ...
• 21
1 vote
65 views

### What estimation method is best to conduct event study on unconventional monetary policy

I have collected bond yield data from 01/01/2008:31/12/2019 for several euro-zone countries. I would like to conduct an event study analysis of the main Non standard measures announced by central ...
• 171
58 views

### Currency-denomination for the index in an event study

Suppose I want to perform an event study on corporate CDS spreads using the market model. All my CDS are US dollar-denominated, whereas the market index is euro-denominated. Is this strategy ...
• 21
59 views

### Event study- overvalued or undervalued stock

I am an doing event study and calculated abnormal return with the help of market model [$r_\text{actual} - (\alpha+\beta r_m)$]. Then I calculated a t-stat and next CAR (cumulative abnormal return). ...
• 161
1 vote
222 views

### Test statistic of event study

Following the event study paper USING DAILY STOCK RETURNS The Case of Event Studies let us suppose that I have daily stock returns for 50 companies from the date 2012-01-01 until 2014-01-01. and I ...
• 113
411 views

### Implied vol vs Realised vol on Event Days

How implied vol varies vis-a-vis realised vol on an event days?
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300 views

### How to conduct an event-study for a single index (i.e the DJIA) with multiple events

I am a postgraduate student writing my thesis. I am somewhat a novice in the field I have chosen to study, however this has undoubtedly broadened my horizons. I am attempting to evaluate the impact of ...
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### Interpretation of t-test in event study with dummy regression

I am not sure about my interpretation of the t-ratios in dummy regression models for event studies. I have the results for two different groups of models examining the impact of news on stock returns ...
• 539
1 vote
1k views

### Differences between dummy regression event study and regression on residuals from market model

I have two different event study approaches and I wonder if the results are exactly the same. Model 1 applies a dummy regression market model: (1) \$R_{t}=\beta_{0} + \beta_{1}R_{mt}+\beta_{2}D_{t}+\...
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