Dear Statalist community,

I'm working on an event study and I want to use standardized cumulative abnormal returns, however I'm unsure if my results are correct. I want to use SCAR(-1, +1) and SCAR(-2, +2) in my study.

I'm using the following data:

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input int eventtime double(return marketreturn) float(firmid NR_MMM AR_MMM)
-171 -.027066 -.025666 1    -.02592428   -.0011417216
-170 -.000902  .001233 1    .001208978   -.0021109781
-169  .019445  .019076 1     .01920737   .00023763232
-168  .001948  .001974 1   .0019564312  -8.431195e-06
-167  .015204  .014315 1    .014404905     .000799095
-166  .018788   .01829 1    .018414522    .0003734784
-165 -.003079 -.003588 1  -.0036540066   .00057500665
-164  .009817  .008036 1    .008071223    .0017457767
-163  .008534  .008818 1    .008860034   -.0003260339
-162  .001437  .000725 1    .000696554     .000740446
-161 -.000226  .001276 1   .0012523525   -.0014783525
-160 -.007799 -.006825 1   -.006919197   -.0008798032
-159 -.004298 -.004716 1    -.00479183    .0004938302
-158  .014726  .014853 1     .01494759  -.00022159042
-157  .003398   .00457 1    .004575039   -.0011770388
-156 -.000676  .000271 1   .0002386002   -.0009146002
-155 -.001174 -.001421 1   -.001468135    .0002941349
-154  -.00803 -.005825 1   -.005910488   -.0021195116
-153  .013958  .016628 1    .016738048    -.002780048
-152  .009512   .01103 1    .011091297   -.0015792975
-151 -.002833 -.001913 1  -.0019644196   -.0008685804
-150 -.004484 -.002554 1   -.002611002    -.001872998
-149  .013662   .01184 1    .011908351    .0017536485
-148  -.00221  -.00045 1 -.00048867875   -.0017213213
-147 -.004013  -.00481 1   -.004886649    .0008736486
-146  .012462  .011874 1    .011942647    .0005193526
-145  .003109  .002728 1   .0027169974    .0003920026
-144 -.003391 -.003545 1   -.003610632   .00021963214
-143 -.001398 -.001132 1   -.001176618  -.00022138184
-142 -.000379 -.000348 1  -.0003857905   6.790481e-06
-141 -.009617 -.009823 1   -.009943306    .0003263055
-140   .00129  .001511 1    .001489399    -.000199399
-139 -.004136 -.003228 1  -.0032908716   -.0008451284
-138 -.014517  -.01399 1   -.014146594   -.0003704057
-137 -.009785 -.011207 1   -.011339358     .001554358
-136  .013755  .014903 1    .014998026   -.0012430262
-135 -.001368 -.001339 1  -.0013854208  .000017420794
-134  .015289  .016162 1     .01626799   -.0009789907
-133 -.000995 -.001123 1  -.0011675397   .00017253975
-132  .003012   .00381 1   .0038084204   -.0007964204
-131 -.000676 -.001235 1   -.001280515     .000604515
-130  .002372  .001222 1   .0011978822    .0011741178
-129  .001165 -.000129 1  -.0001648833    .0013298832
-128   .00078  .000594 1  .00056441315   .00021558686
-127 -.003856 -.004641 1   -.004716177     .000860177
-126  .009524  .010681 1    .010739258   -.0012152576
-125 -.010729 -.010996 1    -.01112652     .000397521
-124  -.01433 -.014374 1    -.01453394   .00020393883
-123  .016455  .020526 1    .020669995    -.004214995
-122 -.009795  -.00699 1   -.007085634    -.002709366
-121 -.006114  -.00649 1    -.00658128    .0004672795
-120   -.0066 -.007739 1   -.007841157     .001241157
-119   .00205  .002251 1   .0022358433  -.00018584334
-118 -.019851 -.019423 1    -.01962691  -.00022409014
-117  .001597  .004756 1    .004762659    -.003165659
-116  .011313  .010619 1    .010676718    .0006362817
-115  .014906  .014515 1    .014606647    .0002993528
-114 -.014615 -.015041 1   -.015206748    .0005917477
-113 -.015068 -.017797 1   -.017986748    .0029187484
-112  .007152  .007778 1    .007810976   -.0006589764
-111  .008839  .008817 1    .008859024 -.000020024383
-110  .013685  .012418 1    .012491385    .0011936155
-109 -.000831 -.001599 1   -.001647685    .0008166851
-108 -.003328 -.002179 1  -.0022327362   -.0010952638
-107  .010021   .01063 1    .010687814   -.0006668141
-106 -.007376 -.007217 1   -.007314611  -.00006138924
-105 -.008202 -.009412 1   -.009528726    .0013267263
-104   -.0149 -.015304 1   -.015472038    .0005720377
-103  .001397  .002012 1    .001994762   -.0005977621
-102 -.013822 -.013115 1   -.013263974  -.00055802567
-101  -.02396   -.0237 1   -.023941156  -.00001884448
-100 -.010925 -.010838 1   -.010967145   .00004214474
 -99 -.001716  .000853 1   .0008256687    -.002541669
 -98  .006078  .007803 1    .007836194    -.001758194
 -97 -.025859 -.024965 1   -.025217174   -.0006418264
 -96  .015461  .016696 1    .016806642   -.0013456416
 -95 -.021697 -.021599 1    -.02182186   .00012485836
 -94 -.002418  .000532 1   .0005018732    -.002919873
 -93 -.010609 -.011694 1     -.0118306     .001221599
 -92  .005685  .005195 1    .005205482    .0004795182
 -91  .022497  .020284 1     .02042589    .0020711122
 -90 -.016696 -.015638 1   -.015808947   -.0008870526
 -89  .015938  .014144 1    .014232416    .0017055843
 -88 -.010554 -.010863 1   -.010992362   .00043836216
 -87   .00508  .005529 1     .00554239   -.0004623905
 -86  .024569   .02476 1    .024940867    -.000371867
 -85 -.000359 -.000443 1  -.0004816178   .00012261781
 -84 -.020012 -.018743 1   -.018940987   -.0010710129
 -83  .005759  .004992 1    .005000714    .0007582858
 -82  .003651  .001527 1   .0015055384    .0021454617
 -81 -.019618 -.018481 1   -.018676706   -.0009412944
 -80 -.016957 -.014154 1   -.014312023   -.0026449766
 -79 -.003064 -.000664 1  -.0007045424   -.0023594575
 -78  .000261 -.000189 1  -.0002254058    .0004864058
 -77 -.011979 -.012301 1   -.012442886    .0004638859
 -76  .020146  .019518 1    .019653216     .000492784
 -75  .017685  .016517 1    .016626082    .0010589176
 -74  .018118   .01648 1     .01658876    .0015292395
 -73 -.004207 -.004666 1   -.004741395    .0005343949
 -72 -.000227 -.000026 1 -.00006098628   -.0001660137
end
With the following code:

Code:
quietly describe
bys eventtime: gen N = _N

preserve
 drop if eventtime>-11
 collapse  (sd) AR_MMM,by(firmid)
 rename AR_MMM si
 keep firmid si
 save "M:\tmp"
 restore
 
 merge m:1 firmid using "M:\tmp"
 erase "M:\tmp.dta"
 
 drop if eventtime <-2
 drop if eventtime >2
 
 // Generate SAR
 gen SAR = AR_MMM/si
 
  ** Create cumulative abnormal returns 
    sort firmid eventtime
    by firmid: gen CAR_MMM =sum(AR_MMM) 
 
  ** Create cumulative standardized abnormal returns
    by firmid: gen CSAR_MMM = sum(SAR)
My results are as follows for SCAR(-2, +2)

Array

Thank you in advance!