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Re: st: Event-Study Cumulative Abnormal Return(CAR)


From   "Künzel Sven" <s.kuenzel@tu-braunschweig.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Event-Study Cumulative Abnormal Return(CAR)
Date   Tue, 26 Feb 2013 09:34:42 +0100

Thanks for your help.

The syntax I tried used the forvalues command but your syntax seems to be much easier.

I have just one more question. By using the syntax

egen sum_for_each_day = total(abnormal_return), by(dif)

I have the sum for each day for every group_id (see the data below) but i would like to have it just once (see the older post). Is there an additional option?


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 1.75=0.6+0.05+1.1 Ireland 0.20 2 22oct2009 22oct2009 0 1 0.1 1.80=0.5+0.10+1.2 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 1.75=0.6+0.05+1.1 Italy 0.31 3 06oct2010 06oct2010 0 1 1.2 1.80=0.5+0.10+1.2 Italy 0.26 3 07oct2010 06oct2010 1 1 1.3 2.05=0.6+0.15+1.3 Italy 0.25 3 08oct2010 06oct2010 2 1 1.1


Sven


On Mon, 25 Feb 2013 21:38:11 +0000
 Nick Cox <njcoxstata@gmail.com> wrote:
Your calculations seem to require

egen sum_for_each_day = total(abnormal_return), by(dif)

We can't comment on what you tried and don't show us.

Nick

On Mon, Feb 25, 2013 at 9:08 PM, Künzel Sven
<s.kuenzel@tu-braunschweig.de> wrote:

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?

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