I want to perform an event study on dividend announcement effects. My problem is that when using the following code, only one announcement is taken per company, while the others are looked over, and thus I cannot create an estimation window for all the different announcements. This is the code I used:
Code:
sort comname date by comname: gen datenum=_n by comname: gen target=datenum if date==anncdate egen td=min(target), by(company_id) drop target gen dif=datenum-td
Code:
clear input long GlobalCompanyKeyDividends int date str28 CompanyName double(PriceCloseDaily div) float(anncdate dif) 207161 18322 "DIALIGHT" 2.55 . . -2 207161 18323 "DIALIGHT" 2.7 . . -1 207161 18324 "DIALIGHT" 2.7 .043 18324 0 207161 18325 "DIALIGHT" 2.65 . . 1 207161 18326 "DIALIGHT" 2.575 . . 2 207161 18329 "DIALIGHT" 2.55 . . 3 207161 18330 "DIALIGHT" 2.5725 . . 4 207161 18331 "DIALIGHT" 2.5175 . . 5 207161 18332 "DIALIGHT" 2.48 . . 6 207161 18333 "DIALIGHT" 2.435 . . 7 207161 18336 "DIALIGHT" 2.5 . . 8 207161 18337 "DIALIGHT" 2.5 . . 9 207161 18338 "DIALIGHT" 2.5 . . 10 207161 18339 "DIALIGHT" 2.525 . . 11 207161 18340 "DIALIGHT" 2.4725 . . 12 end format %td date format %td anncdate
Code:
clear input long GlobalCompanyKeyDividends int date str28 CompanyName double(PriceCloseDaily div) float(anncdate dif) 207161 18463 "DIALIGHT" 3.175 . . 99 207161 18464 "DIALIGHT" 3.2425 . . 100 207161 18465 "DIALIGHT" 3.205 . . 101 207161 18466 "DIALIGHT" 3.355 . . 102 207161 18469 "DIALIGHT" 3.42 .028 18469 103 207161 18470 "DIALIGHT" 3.35 . . 104 207161 18471 "DIALIGHT" 3.405 . . 105 207161 18472 "DIALIGHT" 3.385 . . 106 207161 18473 "DIALIGHT" 3.5 . . 107 207161 18476 "DIALIGHT" 3.5175 . . 108 207161 18477 "DIALIGHT" 3.725 . . 109 207161 18478 "DIALIGHT" 3.735 . . 110 207161 18479 "DIALIGHT" 3.8 . . 111 end format %td date format %td anncdate
Kind regards,
Victor Schaper
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