**VOLUME EVENT STUDY**

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".

thank you

**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