Hi all,

I am studying the effects of stock splits on the liquidity of a firm. In my sample I have c. 150 firms that have split their firm's share in the period 2000-2020 as well as 150 control firms. For each firm, I have 4 observations before the split, and four observations (each observation represents one quarter) after the split. In total, I have 8 observations per company (4 before and 4 after). The timing for each split varies per firm, so firm A might have split their shares in 2011Q1 and firm B might have split their shares in quarter 2010Q4. As with all DiD analysis, I have a treatment dummy that takes the value of one for all observations of a firm, only if the firm has actually split their shares. Additionally, a post-split dummy is added which takes the value of one in the four observations after the stock split.

For each firm, I have gathered a control firm which is observed in the same quarters (based on size/book-to-market) but has not split its shares. This would normally be named the control group. My dataset thus starts with 8 observations from Firm A (which has split its shares), followed by 8 observations from Firm C (which serves as a control group). The post-split dummy for Firm C behaves the same as the post-split dummy for firm A. Please see below for a stylized example:

A 2010Q1 0.5 0 1
A 2010Q2 0.5 0 1
A 2010Q3 0.5 0 1
A 2010Q4 0.6 0 1
A 2011Q1 0.7 1 1
A 2011Q2 0.7 1 1
A 2011Q3 0.8 1 1
A 2011Q4 0.9 1 1
C 2010Q1 0.5 0 0
C 2010Q2 0.5 0 0
C 2010Q3 0.8 0 0
C 2010Q4 0.8 0 0
C 2011Q1 0.8 1 0
C 2011Q2 0.9 1 0
C 2011Q3 0.8 1 0
C 2011Q4 0.9 1 0
etc. ... .... ... ...
The same pattern as above repeats itself for another 150 times (one time for each firm). However, in the sample are also firms that might have split in 2010Q2 (as opposed to firm A which split in 2011Q1). My question is, how can I run the DiD in stata with this data? Can I just run it the normal way? Which would mean to create an interaction term between the post-split dummy and the treatment dummy. Or should I perform an action to ensure that Stata groups the control and treatment firms? I want to make sure that Stata uses firm C as a control group for firm A. Is this automatically done?

Any help would be greatly appreciated, many thanks!

FYI: Cross-posted at Stata reddit.