For my master thesis, I need to execute an event study with 2 moderators: one is the strategy used for the event (three possible strategies) and one is the sector of the brand of the event (two possible sectors). Would I use two grouping variables to model this? Or is there another method to do this?
In my Anlaysis report, I get "The event window seems to include an unexpected number of days the firm's stock has not been traded on" for some of my events. Could you please tell me what exactly this means?
I have two sub-sets of events, "good news" (15 events) and "bad news" (17 events), which I wish to see their effect of different sectors of the FTSE. Could you guide me into how I can test for these subsets of events on a specific sector at once?
I'm encountering difficulty with the estimation window. Most research papers I have found take a [-120;-11] estimation window with a [-1;1] event window. But in the app when I try to put in that estimation window I get an "Event Data import" error. I have seen you answer this question before saying that the estimation window needs to have one positive number. How can I use the [-120;-11] window with the app?
I'm trying to do an event study to look at the CAAR of stock prices during an M&A announcement. Some companies have had multiple announcements for different transactions. How can I put that in my data? It come back saying "Duplicate entry in event data" if I put the company name in twice. Do I need to change the name of the company? Delete duplicates? Would that not affect my results?
Can I conduct a complete event study using your app?
I'm doing my Thesis right now and I have to test if certain events at single firms do have an effect on a group of other firms all in the same market. How would you recommend me doing this? All Events seperate? I got about 200 single Events and 50 firms spread globally
I can not calculate event window before event day like -7, -1. System force me to write the last day of event window bigger than 0.
I am working on a study of biopharma stock prices's responses to receiving "breakthrough therapy designation" (BTD) from the FDA. Our hypothesis is that pre-commercial biotechs will experience a transient stock bump, but excess returns will dissipate by ~90 days. My question relates to the appropriate / maximum length of the event window. What's the maximum or optimal length of the event window, and what factors might dictate the appropriateness of a longer vs. shorter one? We have seen papers with 5-30 day windows, but have not seen a good discussion of how to select the length.
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".