**Test statistic formula for CARs**

Hi,

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?

Best Wolfgang

**Z -statistic in Corrado Test**

Dear Mr. Mϋller

I’m conducting event study in Indonesian market for my bachelor thesis. Following Sudeck & Iatridis (2014), I will use Patell test and Corrado test to test my hypothesis. I want to ask you several questions:

1. Is it okay not to conduct normality test of my data? I mean, I understand that Patell test is used in case the data are normal, while Corrado test is used when my data are not normally distributed. But I confused, should I just do both test without doing normality test?

2. When I look at Campbell & Minguez-Vera (2010), we will find Z-statistic at the end of Corrado test calculation. Do test its significance, can I use Z-table for comparison? Or should I compare Z-statistic of Corrado test with another statistic table?

Please help me. Thank you very much.

**Event Study**

Sehr geehrter Herr Müller,

mein Name ist Sandip Deol und ich stúdiere Internatrional Finance. Zurzeit habe ich ein Projekt am laufen. In diesem Projekt geht es um Auswertungen von Artikeln die sich auf die Weltwirtschaftskrisen beziehen. Wir bewerten die Artikeln nach einer Skalar. Das Problem vor dem ich stehe ist, dass ich nicht weiß, wie ich meine ausgewerteten Artikeln mit in meine Event Study mit hineinbeziehen kann. Da ich die Dax Kurse mit betrachte, arbeite ich eher mit den Kursen als wie mit meiner Auswertung. Meine Hypothese lautet, ob Artikel Veröffentlichungen eine Weltwirtschaftskrise hervorsehen kann. Könnten Sie mit diesbezüglich helfen ? Könnte ich Sie telefonisch erreichen?

ich wäre Ihnen sehr dankbar dafür.

Mit freundlichen Grüßen

Sandip Deol

**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?