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st: event study with Fama/French factors


From   Schöler, Lisa <lschoeler@wiwi.uni-frankfurt.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: event study with Fama/French factors
Date   Fri, 13 Aug 2010 11:44:59 +0000

Dear Statalist,

I want to run an event study with stata using the Fama/French three factor model to predict the expected return. I am not sure if the following comands are correct for the expected return:

***ESTIMATING NORMAL PERFORMANCE***
set more off /* this command just keeps stata from pausing after each screen of output */
gen predicted_return=.
egen id=group(group_id) 
 /* for multiple event dates, use: egen id = group(group_id) */
forvalues i=1(1)219 { /*note: replace N with the highest value of id */ 
 l id group_id if id==`i' & dif==0
 reg ret market_return_minus_risk_free smb hml if id==`i' & estimation_window==1 
 predict p if id==`i'
 replace predicted_return = p if id==`i' & event_window==1 
 drop p
} 

Can anybody tell me if this is correct or if missed something?

Best
Lisa
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