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st: Event study


From   "Chawla, Kanika (GRS Delhi)" <Kanika.Chawla@watsonwyatt.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Event study
Date   Sun, 27 Jul 2008 01:22:08 +0800

Dear stata users,

I am planning to do an event study for the first time and need some advice.

Before I ask my question, here is what I plan to test-- How does stock market reacts to rating announcements?

For my study I have a small sample of 29 companies and there are two announcements made till now. I have data on these companies from the year 2005 till date. I have defined the estimation and event window (3 day event window) and calculated abnormal returns for the event windows. Then I calculated cumulative abnormal return by aggregating abnormal return over the window. So basically, I have two cumulative abormal return for each company (for two announcement). Does the methodology sounds fine? Please advice.

I am not sure how to test the significance of these abnormal returns? 

Thank you in advance

Kanika



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