Hi everyone,

I am currently performing crossectional regression on CARs (as a result of an event study).
The regression I am currently performing is as follows:
reg CAR Time Size Leverage ROA Environment Governance Social
However, the constant (alfa) gives me a value of -521.7961 which makes no sense and is highly insignificant.
When I exclude my time variable, which measures in which year the event happened, the constant becomes -7.85 (measured in percentage points) and is significant. This makes much more sense, therefore I suspect that I should use some limitations for this variable.
For instance, a value of 0 would be unrealistic for the time variable since an event cannot happen when the year is equal to zero.
Therefore, my question is whether you have any suggestions for my Time variable. My hypothesis for this variable would be to see if the effect is bigger recently compared to several years ago.

Thanks in advance,

Kind regards

Patrick van Dam