Hi,

I'm currently doing an event study using a sample of firms and a three days event window [-1,+1]. I'm struggling a bit with which standard deviation I've to use to perform the t-test. Can I simply use a standard deviation over the abnormal returns over all firms and all dates? Or do I have to generate the standard deviation per date and use the one of the event date in my t-test?

I need a standard deviation over all firms in my sample, but wondering of I can perform it over all dates.

Kind regards