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
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