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Creating benchmark period dummies (around event)

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Creating benchmark period dummies (around event)

Hello,

I want to do an event study and need some descriptives around the events I am testing with different window sizes.

Let's assume I have a data set with 10000 observations (stocks, dates, measures) and merge them with an announcement data set. Now, I want to get a dummy variable that is always 0 except for parameters given by me:

if date = announcement_date then;

window_dummy at t-60 to t-11 = 1 or window_dummy at t-5 to t+5 = 1

I hope I described it appropriately and there is a way because there is no lead function or similar.

Best M


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‎09-02-2017 10:28 AM
PROC Star
Posts: 7,492

Re: Creating benchmark period dummies (around event)

Yes, there is no lead function, but there are functions that allow you to do the same thing. Take a look at: https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&uact=8&ved=0ahUKEwjYr5by04bWA...

 

Art, CEO, AnalystFinder.com

 

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Solution
‎09-02-2017 10:28 AM
PROC Star
Posts: 7,492

Re: Creating benchmark period dummies (around event)

Yes, there is no lead function, but there are functions that allow you to do the same thing. Take a look at: https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&uact=8&ved=0ahUKEwjYr5by04bWA...

 

Art, CEO, AnalystFinder.com

 

Occasional Contributor
Posts: 11

Re: Creating benchmark period dummies (around event)

thanks for the hint!

☑ This topic is solved.

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