Hi,

I am currently trying to conduct an event study for my master thesis. However, I do have some trouble with the two commands listed in the title of this thread.

estudy:
For some reason I can't get the grouped CAAR to make sense. From the data shown in the table I would assume that the grouped CAAR would be -4.61% and not -4.35% as shown in the picture below. This is the issue with all the grouped CAARs. Does anyone know why this happens?
Furthermore, does anyone know if it possible to get the t-scores in the output instead of the command only showing p-values? Array



eventstudy2:
With this command I simply can't tell if I am doing something wrong. I am using the following command. However, I don't know if the command means that I am using the market model. I assume it does but I am not sure. For input I use discrete returns as I understood from the help-file that the code converts the returns to ln by itself. The output from eventstudy2 differs substantially from the output from the estudy command. If comparing the outputs in the event window [0,5] the CAAR from the estudy command is -27.28% while it for the eventstudy2 command is -16.36%. This just doesn't make much sense. I have tried using the exact same estimation windows, exact same event windows and so on. Hopefully someone can tell me what I am doing wrong here - maybe I misunderstood something in the eventstudy2 code as it is quite complicated to say the least.
eventstudy2 security_id date using price_file, ret(security_return) mod(MA) marketfile(market_file) mar(return_mkt) idmar(mkt_ref) car1LB(0) car1UB(5) car2LB(-5) car2UB(-5) car3LB(0) car3UB(10) car4LB(-10) car4UB(10) car5LB(0) car5UB(15) car6LB(-15) car6UB(15) car7LB(0) car7UB(0) replace

I look forward to hearing from you guys. I appreciate your time