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st: Using stata for event studies


From   lschoele@rumms.uni-mannheim.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Using stata for event studies
Date   Sat, 28 Mar 2009 15:46:53 +0100

Hi Statalist,

I have to do an event study. So I am thinking about using Stata. But I have a question about the expected returns before I start: I set up an estimation period of 250 trading days. I use OLS to get my alphas and betas. How many observations of the stock price do I need for the regression. Would it be the best, if I have the stockprices for every 250 trading days? I dont really know how many observations would be the best for the regression.
Maybe someone can help me.

Thanks a lot
Lisa
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