**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

**long term event study analysis**

I want to measure long term performance (after 1 year, 3 years and 5 years) of IPO for 400 companies between 2000 to 2010. I want to use BHAR to measure the performance. but I don't know how prepare input data to be used in STATA. I have data in table format in excel as follows:

1. daily market return between 2000 to 2010

2. daily company return between 2000 to 2010

3. IPO listing for each company.

the questions is:

1. how can I prepare my data as you suggested using Comma-separate-value because I have up to 400 companies to go one by one?

2. how can I start my analysis?

**Event Study on CDS**

Hi everyone,

I want to analyze abnormal Returns of daily CDS Prices over the past 10 years, especially at certain Events. The CDS are still collected via Bloomberg (different maturities, Senior and Sub CDS, for nearly 100 European Banks). For the estimated return I'd take an iTraxx CDS index.

Would you consider to analyze analogous to your stock return Event study examples? I doubt, that the market model will fit?

Maybe I can upload the dataset for analyzing?

Many thanks in advance,

Sascha