topic code to calculate cumulative abnormal returns for an event study in SAS Programming https://communities.sas.com/t5/SAS-Programming/code-to-calculate-cumulative-abnormal-returns-for-an-event-study/m-p/109310#M292118 <HTML><HEAD></HEAD><BODY><P>Hi All,</P><P></P><P>I am trying to do an event study. I got the announcement dates, the daily returns, and market returns. Can someone please help me with the coding? </P><P></P><P>For this event study, my event window is (-10,0, 10). My estimation period is 60 days prior the event window (-11 to -71). I want to use market model to estimate the betas (market model is Ri = a + b*Rm + u where Ri= return of a security; Rm = return of a market; u = error). I am trying to get expected returns, abnormal returns, cumulative abnormal returns, and statistical significance of the cumulative abnormal returns.</P><P></P><P>I tried to developed codes by looking at the information online. However most of the codes are complicated for me to understand and I am not able to get it right. I would appreciate if someone shares the code for the event study.</P><P></P><P>I am attaching two xls files: event_study.xls which has the daily returns and market returns. datacfo2.xls has announcement dates. Thank you!</P></BODY></HTML> Sun, 28 Oct 2012 18:14:06 GMT pk2012 2012-10-28T18:14:06Z code to calculate cumulative abnormal returns for an event study https://communities.sas.com/t5/SAS-Programming/code-to-calculate-cumulative-abnormal-returns-for-an-event-study/m-p/109310#M292118 <HTML><HEAD></HEAD><BODY><P>Hi All,</P><P></P><P>I am trying to do an event study. I got the announcement dates, the daily returns, and market returns. Can someone please help me with the coding? </P><P></P><P>For this event study, my event window is (-10,0, 10). My estimation period is 60 days prior the event window (-11 to -71). I want to use market model to estimate the betas (market model is Ri = a + b*Rm + u where Ri= return of a security; Rm = return of a market; u = error). I am trying to get expected returns, abnormal returns, cumulative abnormal returns, and statistical significance of the cumulative abnormal returns.</P><P></P><P>I tried to developed codes by looking at the information online. However most of the codes are complicated for me to understand and I am not able to get it right. I would appreciate if someone shares the code for the event study.</P><P></P><P>I am attaching two xls files: event_study.xls which has the daily returns and market returns. datacfo2.xls has announcement dates. Thank you!</P></BODY></HTML> Sun, 28 Oct 2012 18:14:06 GMT https://communities.sas.com/t5/SAS-Programming/code-to-calculate-cumulative-abnormal-returns-for-an-event-study/m-p/109310#M292118 pk2012 2012-10-28T18:14:06Z Re: code to calculate cumulative abnormal returns for an event study https://communities.sas.com/t5/SAS-Programming/code-to-calculate-cumulative-abnormal-returns-for-an-event-study/m-p/109311#M292119 <HTML><HEAD></HEAD><BODY><P>This is a very valid question and I supprised nobody have answered you, did you ever find your code?</P><P>If so please send me a sample, I am looking for the same thing.</P></BODY></HTML> Fri, 17 Jul 2015 14:22:13 GMT https://communities.sas.com/t5/SAS-Programming/code-to-calculate-cumulative-abnormal-returns-for-an-event-study/m-p/109311#M292119 NicolaiB 2015-07-17T14:22:13Z