**Should I use Market Model( OLS ) or Market Model ( Garch)?**

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

**T Value for abnormal return**

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.

**Standardized abnormal return**

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

**Multiple Event Windows**

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

**Alfa Beta in aARC**

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

**AR CAR signifiance tests**

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?

**Testing for AAR and CAAR**

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.

**EVENT STUDY**

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?

**Application Error**

Hi

I try to run your AR calculator with your sample data. It doesn't work: I got an Application error message ???

Philippe

**Patell z test with Mean-Adjusted Model**

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