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Questions tagged [event-study]

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0
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1answer
102 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.
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2answers
106 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 ...
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0answers
32 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 ...
2
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0answers
199 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 $...
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0answers
62 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 ...
0
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1answer
435 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? ...
0
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0answers
37 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_{\...
1
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1answer
1k 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$$ \text{BHAR}_{i(\tau_1,\tau_2)}\quad=\quad\prod_{t=\tau_1}^{\tau_2}(1+R_{i,t})~-~\prod_{t=\tau_1}^{\tau_2}(1+R_{m,t}) $$ ...
3
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3answers
486 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 ...
1
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1answer
333 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}+\...
3
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0answers
77 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 ...
3
votes
1answer
218 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 ...