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st: Event-Study Cumulative Abnormal Return(CAR)


From   "Künzel Sven" <s.kuenzel@tu-braunschweig.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Event-Study Cumulative Abnormal Return(CAR)
Date   Mon, 25 Feb 2013 22:08:18 +0100

Dear Statalist,

I was wondering if you can help me. I am trying to analyse my datasample by using an Event-Study. Now I would like to get a cumulative sum of the abnormal return for each day around the event-date. At the End I would like to have a variable where I can see the sum for each day around the event. My data looks like this:


new variable I need countrynam spreads group_id datum event_date dif event_window abnormal_return sum_for_each_day

Portugal 0.30 1 21dec2010 23dec2010 -2 0 0.5 Portugal 0.33 1 22dec2010 23dec2010 -1 1 0.6 1.75=0.6+0.05+1.1 Portugal 0.32 1 23dec2010 23dec2010 0 1 0.5 1.80=0.5+0.10+1.2 Portugal 0.33 1 27dec2010 23dec2010 1 1 0.6 2.05=0.6+0.15+1.3 Portugal 0.35 1 28dec2010 23dec2010 2 0 0.4

Ireland 0.20 2 20oct2009 22oct2009 -2 0 0.1 Ireland 0.21 2 21oct2009 22oct2009 -1 1 0.05 Ireland 0.20 2 22oct2009 22oct2009 0 1 0.1 Ireland 0.19 2 23oct2009 22oct2009 1 1 0.15 Ireland 0.24 2 24oct2009 22oct2009 2 0 0.2

Italy 0.26 3 04oct2010 06oct2010 -2 0 1.2 Italy 0.29 3 05oct2010 06oct2010 -1 1 1.1 Italy 0.31 3 06oct2010 06oct2010 0 1 1.2 Italy 0.26 3 07oct2010 06oct2010 1 1 1.3 Italy 0.25 3 08oct2010 06oct2010 2 1 1.1


I tried different things but couldn´t find any fitting syntax. Can you help me?

Thanks....
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