I would like to use EventStudyTools for volume eventstudy.
The market data required "mean of log percentage of trading volume of index".
Could you advise me how to derived the value from raw data "volume of index".
thank you
Dear Professor,
I conduct ARCH effect tests on the firms in my samples, and find that around half of the firms has significant ARCH effect, while the other half has no ARCH effect.
I wonder which model I should use. The Market Model or the GARCH Model?
Best wishes,
Chelsea
How to prepare the request sheet when looking at more than 1 event window? The sample request sheet is only calculating 1 event window.
Eric Romero
In have one question what are alfa and beta in Analysis Report. I know what they mean if I use Market Model
Equation:
http://image.slidesharecdn.com/l2flashcardsportfoliomanagement-ss18-1312...
BUT
I don't know what Alfa and Beta are in FamaFrench 3 Factor Model
Equation
http://3.bp.blogspot.com/-dqWugq0Wotw/Ut8PnxHP-6I/AAAAAAAAAAA/d6_cqU81vt...
Could you help me and explain this?
John
Hi, I'am Eray. I'am phd student.
My thesis field is price manipulation. Manipulation period is more than one day. So, event date is (5, 20. 45, 100, 250 etc). For example, a company's manipulation period is start 03.08.2000 and end 14.12.2000. (03.08.2000-14.12.2000) As seen 95 day manipulation period.
I want to calculate each company for pre-manipulation, manipulation and post-manipulation period cumulative abnormal return. My estimation period, before 03.08.2000 100 trading day.
Estimation period pre-man manip period post-manip
----------------------------///-------------------///--------------------////----------------------
100 trading day -30 day 95 day + 30 gün
What can I do? I want to buy ESM. Can I calculate?
Hi, I have a question about using free event study which is available on the website. the problem is that when I use a credit rating base index as the market price and I have 5 broad categories for the market price in each day.My problem is that I don't know how to list the five market price for each date in the Market data file and how to clarify it clarify my firm dataset and request file? I cannot understand what is the variable group in request dataset.
I already have the file for abnormal return and I just want to use this file to calculate t statistic, is there any simple way for that?
could you please help me to solve this issue?
Hi
I try to run your AR calculator with your sample data. It doesn't work: I got an Application error message ???
Philippe
I want to measure long term performance (after 1 year, 3 years and 5 years) of IPO for 400 companies between 2000 to 2010. I want to use BHAR to measure the performance. but I don't know how prepare input data to be used in STATA. I have data in table format in excel as follows:
1. daily market return between 2000 to 2010
2. daily company return between 2000 to 2010
3. IPO listing for each company.
the questions is:
1. how can I prepare my data as you suggested using Comma-separate-value because I have up to 400 companies to go one by one?
2. how can I start my analysis?
Hi everyone,
I want to analyze abnormal Returns of daily CDS Prices over the past 10 years, especially at certain Events. The CDS are still collected via Bloomberg (different maturities, Senior and Sub CDS, for nearly 100 European Banks). For the estimated return I'd take an iTraxx CDS index.
Would you consider to analyze analogous to your stock return Event study examples? I doubt, that the market model will fit?
Maybe I can upload the dataset for analyzing?
Many thanks in advance,
Sascha
I am examining an individual event. According to your recommendations a parametric t-test (Nr. 1 on the website) is applicable. Besides the effects this event has on the stock returns of the company responsible for the event, I'd also like to examine the effects on the firm's competitors. Treating individual competitor stocks as independet is almost surely inappropriate, since I would expect a fair amount of correlation among competitor retruns. To adjust for this possibility, I create a portfolio composed of all relevant competitors and calculated the abnormal returns of this portfolio.
1.) Can I apply the same test statistic to test for significant AR of the competitor portfolio as I do for the individual focal firm?
2.) Is there a way to avoid portfolio creation that still yields statistically meaningfull/ unbiased results? Which test would be applicable in that case?