Hello!
I'm a student currently working on my bachelor's thesis in finance. I want to test post-earnings-announcement drift on the swedish OMXS30 index. I want to do an event study in stata using daily earnings of all the stocks, and comparing these in different timewindows around earnings announcements.
I am a total beginner when it comes to stata. And i've tried looking up different instructions like https://dss.princeton.edu/online_hel...study.html#car etc. But I'm having a hard time understanding what everything means.
What i want to achieve:
Match dates for quarterly earnings reports with daily stock return dates.
Calculate abnormal returns in different time windows around the quarterly report date. For example [-90,0], [-5,1] etc.
Calculate cumulative abnormal returns for each company.
The way my hypothesis is designed is that i measure if the companies EPS (earnings per share) was better or worse than the general estimate. If it's better -> i expect a positive drift, if it's worse -> i expect a negative drift. So i want to divide the news in "GOOD" and "BAD". Then i want to t-test the cumulative abnormal returns to try the significance of the drift.
As I mentioned earlier, I am a totalt beginner in Stata, so if you could help explain it to me i would much appreciate it.
Best regards,
Adam
Related Posts with Event study with quarterly reports!
Graph formatting for Forrest plotsI have generated a meta-analysis forrest plot using metaprop by subgroup (ie presented 2 subanalyses…
Generate new variable in panel data on the condition that another variable is contained within a list.New to this forum, so sorry for the wordy title. I have 9 waves of individual level panel data on d…
specification error in panel dataHello, I am running a panel regression (xtreg) on an unbalanced dataset with large N, small T. I wa…
Which types of analysis? (continuous DV ranging from 0 to 1)Hi, My dependent variable is score, continuous variable ranging from 0 to 1 (e.g., 0.1, 0.23, 0.34)…
LoopDear All, I have a variable, say country, which contains the name of countries in my dataset and I …
Subscribe to:
Post Comments (Atom)
0 Response to Event study with quarterly reports!
Post a Comment