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st: abnormal trading volume when there are a lot of zeros


From   jean-luc morin-chesnel <jeanluc.morinchesnel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: abnormal trading volume when there are a lot of zeros
Date   Sat, 26 Oct 2013 14:22:54 +0200

Dear all,

I have an econometric question but I believe it is relevant for people
using Stata to perform event studies.

I have the trading orders of some groups of investors, and I would
like to estimate an abnormal trading volume measure around some
earnings releases. To do so, I need to have a "normal" trading volume
measure for those groups in the pre-announcement period.

The problem is that for some stock/groups I have many days with zero
volume in the pre-announcement period, so I do not know if I must
include those zeros in the computation of the average "normal" trading
volume prior to the event. If I include them, I mechanically have a
smaller measure of normal returns. If I do not include them, then two
stocks with the same average trading volume, but not the same number
of observations in the pre-announcement period, will have the same
normal measure.

Do you have any ideas/references?

Many thanks!
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