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Event study estimations using Stata: The estudy command

Author

Listed:
  • Fausto Pacicco

    (LIUC–Università Carlo Cattaneo Castellanza)

  • Luigi Vena

    (LIUC–Università Carlo Cattaneo Castellanza)

  • Andrea Venegoni

    (LIUC–Università Carlo Cattaneo Castellanza)

Abstract

In this article, we introduce the community-contributed command estudy and illustrate how it can be used to perform an event study customizing the statistical framework, from the estimates of abnormal returns to the tests for their statistical significance. Our command significantly improves the existing commands in terms of both completeness and user comprehension.

Suggested Citation

  • Fausto Pacicco & Luigi Vena & Andrea Venegoni, 2018. "Event study estimations using Stata: The estudy command," Stata Journal, StataCorp LP, vol. 18(2), pages 461-476, June.
    • Handle: RePEc:tsj:stataj:v:18:y:2018:i:2:p:461-476
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    Citations

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    Cited by:

    1. Damian Clarke & Kathya Tapia-Schythe, 2021. "Implementing the panel event study," Stata Journal, StataCorp LP, vol. 21(4), pages 853-884, December.
    2. Law, Cherry & Cornelsen, Laura & Adams, Jean & Penney, Tarra & Rutter, Harry & White, Martin & Smith, Richard, 2020. "An analysis of the stock market reaction to the announcements of the UK Soft Drinks Industry Levy," Economics & Human Biology, Elsevier, vol. 38(C).
    3. Kakhkharov, Jakhongir & Bianchi, Robert J., 2022. "COVID-19 and policy responses: Early evidence in banks and FinTech stocks," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    4. Pacicco, Fausto & Vena, Luigi & Venegoni, Andrea, 2019. "Market reactions to ECB policy innovations: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 126-137.
    5. Furdui Călin & Șfabu Dorina Teodora, 2023. "The European Banks Under the Shock of the Russian Invasion of 2022: An Event Study Approach," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 68(1), pages 62-77, April.
    6. Mahesh Dahal & Joy Das, 2022. "Merger and Acquisition Announcement of Indian Banking Sector: A Pre-Post Analysis of Stock Market Reaction," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 14(2), pages 89-105, December.
    7. Ganga, Paula & Kalyanpur, Nikhil, 2022. "The limits of global property rights: Quasi-Experimental evidence from the Energy Charter Treaty," Energy Policy, Elsevier, vol. 167(C).

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