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st: RE: event study with Fama/French factors

From   "Martin Weiss" <>
To   <>
Subject   st: RE: event study with Fama/French factors
Date   Fri, 13 Aug 2010 15:45:19 +0200


You must be hoping that there is some specialist longing to check your code
out there. He/she would have a hard time in the absence of detailed
information on your data/goals of analysis... 

I am afraid this list has members from all kinds of academic disciplines, so
the least you have to provide is a citation for Fama/French, even though
among economists and business administrators it would not be necessary. 


-----Original Message-----
[] On Behalf Of Schöler, Lisa
Sent: Freitag, 13. August 2010 13:45
Subject: st: event study with Fama/French factors

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:

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' &
 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?

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