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st: Re: event study

From   Kit Baum <>
Subject   st: Re: event study
Date   Sun, 27 Jul 2008 08:27:15 -0400

< >

You should have a look at

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Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Jul 27, 2008, at 02:33 , Kanika wrote:

I am planning to do an event study for the first time and need some advic=

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

For my study I have a small sample of 29 companies and there are two anno=
uncements made till now. I have data on these companies from the year 200=
5 till date. I have defined the estimation and event window (3 day event =
window) and calculated abnormal returns for the event windows. Then I cal=
culated cumulative abnormal return by aggregating abnormal return over th=
e window. So basically, I have two cumulative abormal return for each com=
pany (for two announcement). Does the methodology sounds fine? Please adv=

I am not sure how to test the significance of these abnormal returns?=20

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