Dear Event study tools,
I am studying the rating changes effect on stock price, at the moment I use the market model to calculate the abnormal returns in the event window for each rating change for each company in the sample. I have this data but I don't understand how I can aggregate them into the Average abnormal returns and later into the CAAR, also I am a concerned about how to determine the standard deviation for T- test.
Many thanks in advance for your kind attention
Dear Dr. Müller,
for the t-test (mentioned on eventstudytools - parametric test statistics number 1) it is possible to test H0:ARi,t=0 and H0:CARi=0.
For my study I am using the paper of MacKinlay (1997). On page 24, formula (20), he used a test of which I thougt that it is a t-test for CAAR. Dymke (2010) used this formula of MacKinlay on page 77 too. But on page 79 he talks about the parametric test of Brown/Warner (1985).
I am confused and need some help.
Thanks in advance.
Daniel
Hi,
I am happy to use information you provide on your great website to do my event study.
I was wondering about the formula of the standard deviation of CARs for each firm. S2CAR = L2*S2*ARi.
What is meant by L2?
Is it the number of days of the event period?
Or is it the number of day of the subperiod of my event in case i want to check the significance of t-3 - t+3 for each firm (=7)??
Is L2 multipled by S2*ARi or does it mean that I should use S2*ARi of the event window?
I would be very happy to receive an answer?
Best Wolfgang
Dear Mr. Mϋller
I’m conducting event study in Indonesian market for my bachelor thesis. Following Sudeck & Iatridis (2014), I will use Patell test and Corrado test to test my hypothesis. I want to ask you several questions:
1. Is it okay not to conduct normality test of my data? I mean, I understand that Patell test is used in case the data are normal, while Corrado test is used when my data are not normally distributed. But I confused, should I just do both test without doing normality test?
2. When I look at Campbell & Minguez-Vera (2010), we will find Z-statistic at the end of Corrado test calculation. Do test its significance, can I use Z-table for comparison? Or should I compare Z-statistic of Corrado test with another statistic table?
Please help me. Thank you very much.
Sehr geehrter Herr Müller,
mein Name ist Sandip Deol und ich stúdiere Internatrional Finance. Zurzeit habe ich ein Projekt am laufen. In diesem Projekt geht es um Auswertungen von Artikeln die sich auf die Weltwirtschaftskrisen beziehen. Wir bewerten die Artikeln nach einer Skalar. Das Problem vor dem ich stehe ist, dass ich nicht weiß, wie ich meine ausgewerteten Artikeln mit in meine Event Study mit hineinbeziehen kann. Da ich die Dax Kurse mit betrachte, arbeite ich eher mit den Kursen als wie mit meiner Auswertung. Meine Hypothese lautet, ob Artikel Veröffentlichungen eine Weltwirtschaftskrise hervorsehen kann. Könnten Sie mit diesbezüglich helfen ? Könnte ich Sie telefonisch erreichen?
ich wäre Ihnen sehr dankbar dafür.
Mit freundlichen Grüßen
Sandip Deol
Sir
My event day is different but firms are from different industry so can i divide abnormal return by Standard error for finding the t value or Is there any other method.
Dear Mr Muller,
I'm conducting an event study analysis and I would like to use the BPM test. My question is how can I calculate the sARi,t (standard deviation)? Is there one for every company at every t?
I hope you can help me and solve my doubt.
Thank you very much.
Best regards,
Francesco
Dear Dr. Müller
Brown and Warner (1985) suggest calculating the t-value as the ratio of the AAR to its estimated standard deviation from the estimation period. Is this appropriate? And don't I have to multiply it by the square root of N as your your significance test formula shows?
Furthermore, they also suggest calculating the test statistic over a interval as the ratio of CAAR to its estimated standard deviation. How can I calculate the standard deviation of the CAAR?
Thank you for your help.
Dear Mr Müller,
from my point of view using the Patell z test in combination with the mean-adjusted model seems counter-intuitive, since the S(ARi,t,) includes data from a market index (R(m,t)), which are not relevant for the calculation of mean-adjusted AR's. Still your event study engine is calculating it. Would you please elaborate whether you agree with me here, or respectively, why you don't?
Basically, I am using both the mean-adjusted and the market model and I would like to compare the two models' results, which is obviously not possible when using different significance tests. (Due to several adjustments I have made, I am using your engine solely for robustness checks.)
I am looking forward to your reply.
Best regards,
Mark
Dear Mr. Müller,
Regarding the parametric T-test for one sample Event: Could you explain me the size M (matched returns), please?
My event window is +/- seven days surrounding the announcement day of an acquisition. So L2 is 15 in my analysis, right? Is M also 15?
Thank you in advance!
You can also answer me in german.
Best wishes,
Tim Rothermel