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 would like to use your server app to conduct an event study and trying to find out if the app can completely replace an analysis with a statistics software like Stata or R? Also, I was wondering if you offer further advice or forums to better understand the preparations of the datasets before one is able to upload the request files? Is it also possible to use own (rather specific) indices as benchmark returns for CAARs and to use non-Yahoo or Google Finance sources but data from commercial data providers like Datastream for the share price data to be analyzed with the app?
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?
I am currently conducting a large-scale event study. I am using R and the EventStudy package. It turns out that I am only able to upload around 2000 stock prices otherwise I receive the error code:
Request Status Code: 500
Error: Argument 'txt' must be a JSON string, URL or file
Is there any way to use the package for a large amount of data e.g. 200k stock prices in the overall analysis?
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.
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.