**Aggregation across time and firms in Event Study**

Dear Sir,

I intend to use event study methodology for the purpose of my research for accessing the impact of quarterly financial results and stock price behavior for a sample of firms .

Kindly help me to understand as to how the aggregation across time and firms is done for the sample.

Data for 30 stocks and 600 quarters.

In case of clarification on the query please let me know.

Regds,

Nayan

**Training workshop online or onsite**

Hello sir/madam

I am writing to find out if you will offer any workshop so that I can have the opportunity to be trained using this important method for research purposes. If not, what is the best way to grasph this technically thoroughly?

Thank you very much for your help.

Best

Deli Yang

**CAR t-test**

Dear Simon,

I'm a MSc student working on my final thesis. Could you please explain me why the denominator of the t-statistic for CAR is not divided by the square root of N?

Thank you in advance

Kind regards

Paolo

**Finding p-values**

Hi!

How do you calculate the p-values? We use excel and look the t-statistic up in a normal distribution with a mean of 0 and a variance of 1 + cumulative = 0. Is that the right way to do so? And can we assume that all the test statistics should be looked up in a normal distribution and not a t-distribution?

**IPO CAR**

I'm trying to calculate Cumulative Abnormal Return for IPO firms after listing for 3 year trading period, by calculating monthly abnormal return and cumulating for the duration.

I went through the guides on CAR, but all of them cover event studies which include an estimation window. But as estimation windows is not available for IPO firms, I am confused how to calculate CAR. I have attached the formulas which I am considering to use.

Can you please help me to calculate CAR?

**GRANK - T and GRANK - Z estimation**

Hi, Firstly, I'm very impressed with the kind of event study calculation summary you have provided in your webpage. I have a question regarding the GRANK -T and GRANK - Z non parametric estimations. Are the GSAR ranked in ascending i.e. lowest rank for the lowest GSAR or vice versa descending order i.e. Highest rank for the lowest GSAR. I have checked other academic sources including Kolari and Pynnonen, (2011) but they don't seem to state it specifically. If I consider ranking in ascending order the T statistics are +ve for negative CAAR values whereas when ranked in decending order they are negative for -ve CAAR values. Looking forward to hear from you. Thanks for your time.

Regards,

John Pereira

**Can we conduct event study using SPSS**

Dear Sir,

I am doing my Ph.D research, where I require to conduct event study (here event study is to be conducted by combining on multiple events)

Events are identified in the data series (both upper tails and lower tails)

Can it be possible to conduct this type of event study by using SPSS?

Kindly help me in this regard.

**Calculation of Average AR and CAR**

I don´t understand how I calculate average AR and CAR. I have 88 companies and 563 events. Do I need to divide AR by N events (563) or by N companies (88)? For example, event 1, is AAR=0,45629/563=0.00081046. What ist he right way to calculate AAR and ACAR? I would be very happy, if you can help me!

day abnormal_return cumulative_abnormal_return

-5 0.45629 2.65503

-4 -0.09955 2.65503

-3 0.41327 2.65503

-2 -0.16353 2.65503

-1 -0.01421 2.65503

0 0.56482 2.65503

1 -0.19816 2.65503

2 1.96007 2.65503

3 0.11497 2.65503

4 0.2138 2.65503

5 -0.59274 2.65503

**Calculation of Average AR and CAR**

I don´t understand how I calculate average AR and CAR. I have 88 companies and 563 events. Do I need to divide AR by N events (563) or by N companies (88)? For example, event 1, is AAR=0,45629/563=0.00081046. What ist he right way to calculate AAR and ACAR? I would be very happy, if you can help me!

day abnormal_return cumulative_abnormal_return

-5 0.45629 2.65503

-4 -0.09955 2.65503

-3 0.41327 2.65503

-2 -0.16353 2.65503

-1 -0.01421 2.65503

0 0.56482 2.65503

1 -0.19816 2.65503

2 1.96007 2.65503

3 0.11497 2.65503

4 0.2138 2.65503

5 -0.59274 2.65503

**Enquiry about t-test on CAR**

Dear Dr.

Sorry to bother you. I am a Chinese student and I am doing my MSC dissertation. I am conducting an event study in order to figure out the influence of the release of movies. I feel confused about the way to test CAR. I am wondering can I calculate SD (CAR) directly through the STDEV formula in Excel? Further,I am not sure whether the "N"in the formula you provide to calculate standard deviation of AAR also stand for the number of events. Could you please give me some help? Thank you very much.

Have nice day!

ENQI