Hey guys,

I have another question where I'd like to hear your opinion on. I am currently working on an assignment where I analyze the effect of specific news on the returns of 2 company stock prices.

I'd now like to test for the differences in the way these 2 stock prices are effected by the news. Do you know any models / stata commands that I can apply to solve this problem?

Would running a multivariate regression and then applying the command "test [returns_stock_A] news= [returns_stock_B] news work?

Thank you very much in advance!