I am doing an event study on the transfer market in football. However during this research, I have encountered two problems I need to correct for: thin trading and event clustering. Football clubs may not trade every day and the transfer window is opened only a couple of months each year. During those few months, a lot of acquisitions and sales are conducted.
For the thin trading problem, I have used Dimson Beta’s with 3 lags and a lead. However, for event clustering I am unsure how to proceed. I have looked at the crude dependent adjustment (Brown & Warner) however have been unable to put this method into practice(Stata). And so, my question is: what method to deal with event clustering would be most suitable to implement in this case (in combination with the Dimson beta)? And should the crude dependent adjustment be most suitable, how do you perform such a test in stata?
(We already have the Abnormal returns, CARs and CAARs)
Related Posts with Event study with thin trading and many events(clustering)
KMatch: Memory Management in Nearest-Neighbor Matching with TiesHi Everyone! Currently running Stata 16. I'm trying to do nearest neighbor matching with Kmatch usi…
Controlling numbers with esttabHi Stata community, I have several regressions that I would ideally put in one table, but there are…
Does ipfweight generate analytical or sampling weight?Hello, I have generated weight in my dataset using 'ipfweight' (https://fmwww.bc.edu/repec/bocode/i…
Creating a time series dummy variableDear STATAlist community, I am looking for help in creating a dummy variable for a time series. Thi…
graph of a dependent variable in specific years (panel data)Hi guys, i'm not very able to use stata. For my thesis, I have a panel data(1970-2017) for different…
Subscribe to:
Post Comments (Atom)
0 Response to Event study with thin trading and many events(clustering)
Post a Comment