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Re: st: Event-study


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Event-study
Date   Wed, 27 Feb 2013 10:06:58 +0000

You need first to spread the benchmark value to other observations.
One general way to do that is

egen benchmark = total(sum_for_each_day / (dif == -1)), by(<whatever>)

Then divide by -benchmark- and multiply by 100.

See a more detailed and systematic review of similar problems at

http://www.stata-journal.com/article.html?article=dm0055

Nick

On Wed, Feb 27, 2013 at 9:10 AM, Sven Künzel <lecoewf@googlemail.com> wrote:

> I have a question concerning the use of formula respectively scaling a
> value. I am doing an Event-Study. I have calculated the sum_for_each_day.
> Now I want to scale this sum_for_each_day in percent. The sum prior to the
> event (dif=-1) has to take the value 100% and has to represent the benchmark
> for the others sums in the event_window. My datasample with the new variable
> needed looks like this. Is there a simple way of fitting in a formula
> respectively rescaling a value?
>
> countrynam spreads  group_id    datum      event_date    dif event_window
>  abnormal_return    sum_for_each_day  sum_for_each_day_Percent
>
>
> Portugal     0.28     1       20dec2010     23dec2010    -3      0
> 0.6
> Portugal     0.30     1       21dec2010     23dec2010    -2      1
> 0.5                1.80                102
> Portugal     0.33     1       22dec2010     23dec2010    -1      1
> 0.6                1.75                100
> Portugal     0.32     1       23dec2010     23dec2010     0      1
> 0.5                1.80                102=(((1.8-1.75)/1.75)+1)*100
> Portugal     0.33     1       27dec2010     23dec2010     1      1
> 0.6                2.05                117
> Portugal     0.35     1       28dec2010     23dec2010     2      1
> 0.4                2.00                114
> Portugal     0.34     1       20dec2010     23dec2010     3      0
> 0.5

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