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From common to firm-specific event dates: A new version of the estudy command

Author

Listed:
  • Fausto Pacicco

    (LIUC–Università Carlo Cattaneo)

  • Luigi Vena

    (LIUC–Università Carlo Cattaneo)

  • Andrea Venegoni

    (LIUC–Università Carlo Cattaneo)

Abstract

The estudy command proposed by Pacicco, Vena, and Venegoni (2018, Stata Journal 18: 461–476) performs event studies only for event-date clustering, that is, when the event date is common to all securities. This constitutes a relevant limitation because the vast majority of this methodology’s applications concerns studies in which the events happen on different dates for each statistical unit considered. In this article, we propose and describe a substantial update to estudy, which 1) performs event studies in the absence of event-date clustering (that is, when each security has its own event date); 2) further customizes the output by producing LATEX-formatted tables; 3) graphs the cumulative abnormal returns over a customized period set by the user; 4) makes more output data available through either the return list or Excel files; 5) allows a double possibility as input: either prices or returns; and 6) uses wildcards.

Suggested Citation

  • Fausto Pacicco & Luigi Vena & Andrea Venegoni, 2021. "From common to firm-specific event dates: A new version of the estudy command," Stata Journal, StataCorp LP, vol. 21(1), pages 141-151, March.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:1:p:141-151
    DOI: 10.1177/1536867X211000010
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-1/st0532_2/
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