Output list
Working paper
Running event studies using Stata: the estudy command
Published 2017
SSRN, 6 November 2017, 1 - 14
This paper proposes the Stata command estudy and illustrates how it can be used to perform an event study customizing the statistical framework, from the estimates of abnormal returns to the tests for their statistical significance. Our program significantly improves the existing modules both in terms of completeness and users' comprehension.