code to calculate cumulative abnormal returns for an event study

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code to calculate cumulative abnormal returns for an event study

Hi All,

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?

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.

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.

I am attaching two xls files: event_study.xls which has the daily returns and market returns. datacfo2.xls has announcement dates. Thank you!

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Posts: 1

Re: code to calculate cumulative abnormal returns for an event study

This is a very valid question and I supprised nobody have answered you, did you ever find your code?

If so please send me a sample, I am looking for the same thing.

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