I have this issue: "Duplicate event id: 0" but i dont have any duplicates
I'm trying to conduct event study with two different groups. I have multiple event days and two groups. Event study tool gives me results from all the different days separately but doesn't show the grouped results in CAAR and AAR file. What could be the problem?
I intend to use intraday event studies with a sample of 1,200 profit announcements issued after the close and before the opening of the B3 stock exchange. Would you have an example of intraday event study implementation to make available (excel, R or other format)? I have read many articles on the subject however, nothing very practical. I would like to adopt some of the novel techniques for detecting jumps. If you can suggest some specific practical literature for reading.
I am carrying out an event study analysis based on Market Model for my master thesis and would like to use the EvenStudyTools Application. I have a question regarding the request file field 'Event ID'. According to the sample file an ID for various events should be introduced. In my case, I have only one event which affects 20 companies. How should I complete this field? I tried with the same event number for all the companies and it did not work because of duplicate entry in the event data. It did work though with different IDs, but I am not sure if it is correct for the same event.
And also I would like to ask regarding the field Grouping Variable. In the sample file this field is completed with an 'Addition'. What exactly should be in this field?
I am writing to you concerning the Event Study Calculator. Indeed, I would like to use this helpful tool but I am confused with two elements:
- In what code should the firm ID be? (ISIN, SEDOL, NAME...)
- For the firm and market data, how many days should we use for the returns (the example shows around 800 days which is much more than the event and estimation period)?
I have calculated the AR and CAR, as well as the AAR and CAAR. However, while understanding the different calculations behind these i am not sure when it is better to use AR or AAR, CAR or CAAR respectively. Could you explain what the differences are in terms of interpretation? When should which version be used for analysis? Are there different kind of 'significance' tests to be done to check these two different calculations?
I am conducting event study with different companies across Europe and all of them has different currency. Is it important in event study calculations to have the same currency for all companies in your sample? Or, as in the end we still get Returns, so currency is not significant?
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.
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?