IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s459676.html

CSESTUDY: Stata module to provide Efficient Inference for Cross-Sectional Event Studies

Author

Listed:
  • Jonathan Cohn

    (University of Texas at Austin)

  • Travis Johnson

    (University of Texas at Austin)

  • Zack Liu

    (University of Houston)

  • Malcolm Wardlaw

    (University of Georgia)

Programming Language

Abstract

csestudy implements the time-series approach to cross-sectional event study inference described in Cohn, Johnson, Liu, and Wardlaw (2026), "Past is Prologue: Inference from the Cross Section of Returns Around an Event," Journal of Financial Economics 180, 104278. Standard event study methodologies typically fail to account for the cross-correlation structure in stock returns across firm characteristics, and clustering standard errors by industry does not address this. The command benchmarks the event-period coefficient against a distribution of the same relationship estimated on pre-event days, using either OLS or GLS with a PCA-based covariance estimator. Rejection criteria are reported as a parametric z-score and a p-value from the empirical CDF of pre-event coefficients.

Suggested Citation

  • Jonathan Cohn & Travis Johnson & Zack Liu & Malcolm Wardlaw, 2026. "CSESTUDY: Stata module to provide Efficient Inference for Cross-Sectional Event Studies," Statistical Software Components S459676, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459676
    Note: This module should be installed from within Stata by typing "ssc install csestudy". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/csestudy.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/csestudy.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/csestudy.sthlp
    File Function: help file
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s459676. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.