Hi everyone,

I've gone through the Princeton event study stata coding, everything run through (I haven't coded the test bit), but I found that my dataset does not contain the predicted return and the accumulative return. What went wrong?

sum predicted_ret cumulative_abnormal_return

Variable | obs Mean Std. Dev. Min Max

-------------+---------------------------------------------------------

predicted_~n | 0

cumulative~n | 8, 214 0 0 0 0




My codes:




gen predicted_return=.

egen id=group(com_id)

forvalues i=1(1)144 { /*note: replace N with the highest value of id */
l id com\_id if id==\`i' & dif==0 reg ret mkt\_ret if id==\`i' & estimation\_window==1 predict p if id==\`i' replace predicted\_return = p if id==\`i' & event\_window3==1 drop p
}




*calculate abnormal return

sort id date

gen abnormal_return=ret-predicted_return if event_window3==1

by id: egen cumulative_abnormal_return = total(abnormal_return)