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!
Box-tidwell testI am doing a logistic regression analysis with Lyme disease (borrelia) as dependent variable. I want…
Merging datasets togetherI am currently in a tricky situation. I have a dataset with 83,311 observations and 109 variables. I…
Reporting contrasts of marginal effects from logit/probit modelsLet's say I have a model to predict the probability of an outcome, and I am interested in reporting …
Multiple Imputation - How to compute restrictions for the imputation?Dear all, I think my problem should be easy to solve, but I just cannot figure it out, so I hope so…
Constant term omitted without specifying "nocons", helpI ran a logit regression and the constant term was missing. How can this be? xtlogit vigact3 years …
Subscribe to:
Post Comments (Atom)
0 Response to Event study with quarterly reports!
Post a Comment