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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?
Meliana's user avatar
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1 vote
1 answer
107 views

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 ...
borninthenorth's user avatar
1 vote
0 answers
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 ...
MiFischer22's user avatar
0 votes
1 answer
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 ...
worldCurrencies's user avatar
0 votes
0 answers
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. ...
thomas.diridondo's user avatar
-2 votes
1 answer
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 ...
Chris's user avatar
  • 3
0 votes
1 answer
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)) ...
Felix's user avatar
  • 206
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0 answers
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 ...
zcbcpaoa's user avatar
1 vote
0 answers
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 ...
AugusteDupin's user avatar
2 votes
1 answer
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 ...
Sahil Puri's user avatar
1 vote
1 answer
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 ...
zcbcpaoa's user avatar
2 votes
0 answers
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 ...
Marie's user avatar
  • 21
1 vote
1 answer
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 ...
Alchemy's user avatar
  • 171
0 votes
1 answer
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 ...
Niqx's user avatar
  • 21
0 votes
0 answers
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). ...
Priya's user avatar
  • 161
1 vote
1 answer
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 ...
Kingindanord's user avatar
4 votes
1 answer
411 views

Implied vol vs Realised vol on Event Days

How implied vol varies vis-a-vis realised vol on an event days?
Ussu's user avatar
  • 585
2 votes
0 answers
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 ...
David's user avatar
  • 21
2 votes
1 answer
584 views

BHAR Event Study - Index

I want to perform a BHAR event study. For that, I subtract the compounded returns of a benchmark portfolio from the respective stock: $$BHAR_{jt} = \prod_{t=T_t}^{T_2}{(1+R_{jt})- \prod_{t=T_t}^{T_2}{...
dasanicola's user avatar
0 votes
1 answer
434 views

BHAR Event Study Data

I am about to run a long-run event study on certain events. For a short-term event study, I previously have used daily log returns. My question is now, what data I need for the BHAR one. Just monthly ...
dasanicola's user avatar
1 vote
2 answers
2k views

API for Earnings date

Is there any API for getting past/future earnings date for a specific symbol? I tried TDAmeritrade API, Ally and IEX, none of them provide this information yet.
Mehdi Zare's user avatar
2 votes
2 answers
2k views

Event study : multi-country and multi-events study (CARs - cumulated abnormal returns)

I'm trying to cnduct an event study accross countries, where sometimes there is more than one event per country. I'm following the methodology explained here to compute $CAR_i$. From what I ...
bixoez's user avatar
  • 31
1 vote
0 answers
42 views

Negative abnormal stock return and permanent impact

Assume we have a day where stock price falls many standard deviations of the mean (e.g >3) . How could we test, in terms of time-series, if this negative shock is permanent or deminishes in the long ...
alexbougias's user avatar
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2 votes
0 answers
1k views

Event Study - how to control for confounding events?

Say that I am attempting to estimate the cumulative abnormal returns CAR for a firm due to an event $X$. My event window is taken to be 1 week long (day 0 to 6). However, on day 2, another big event $...
user130518's user avatar
1 vote
2 answers
2k views

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

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 ...
amber's user avatar
  • 11
0 votes
1 answer
1k views

Daily value weighted return and equally weighted size adjusted

For an event study, can anyone explain me the daily value weighted return for a benchmark and the equally weighted return size adjusted for measuring the EARs and how to calculate both weights? ...
peter's user avatar
  • 11
0 votes
0 answers
38 views

Variance Equations is missing definition

here: https://www.nrc.gov/docs/ML1208/ML12088A329.pdf Campbell, Lo, Mackinlay: The Econometrics of Financial Markets on page 159 i am looking at equation 4.4.9 in the last line, = $I\sigma_{\...
user3022875's user avatar
2 votes
1 answer
8k views

Computing Buy-and-hold abnormal returns (BHARs) $= \prod_{t=\tau_1}^{\tau_2}(1+R_{i,t}) - \prod_{t=\tau_1}^{\tau_2}(1+R_{m,t})$

I am doing an event study and wanted to know if was going about this correctly$$ \text{BHAR}_{i(\tau_1,\tau_2)}\quad=\quad\prod_{t=\tau_1}^{\tau_2}(1+R_{i,t})~-~\prod_{t=\tau_1}^{\tau_2}(1+R_{m,t}) $$ ...
elbarto's user avatar
  • 287
3 votes
3 answers
1k views

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 ...
jeffrey's user avatar
  • 539
1 vote
1 answer
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}+\...
jeffrey's user avatar
  • 539
3 votes
0 answers
85 views

Test for difference in security returns before and after financial regulation

I'm going to study the effect of corporate credit rating changes (Moody's) on stock prices before and after a specific financial regulation. So far i have used an event study where i have divided the ...
Lickt0rn's user avatar
3 votes
1 answer
482 views

Compare events effect on stock prices from different time periods

I’m going to test for the effect corporate credit rating announcements have on stock prices through different economic climates (good times vs. bad times). I want to research whether or not the stock ...
Gary Upper's user avatar