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".
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?
How to prepare the request sheet when looking at more than 1 event window? The sample request sheet is only calculating 1 event window.
In have one question what are alfa and beta in Analysis Report. I know what they mean if I use Market Model
I don't know what Alfa and Beta are in FamaFrench 3 Factor Model
Could you help me and explain this?
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?