BookmarkSubscribeRSS Feed
pk2012
Calcite | Level 5

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!

1 REPLY 1
NicolaiB
Calcite | Level 5

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.

hackathon24-white-horiz.png

The 2025 SAS Hackathon has begun!

It's finally time to hack! Remember to visit the SAS Hacker's Hub regularly for news and updates.

Latest Updates

How to Concatenate Values

Learn how use the CAT functions in SAS to join values from multiple variables into a single value.

Find more tutorials on the SAS Users YouTube channel.

SAS Training: Just a Click Away

 Ready to level-up your skills? Choose your own adventure.

Browse our catalog!

Discussion stats
  • 1 reply
  • 3649 views
  • 0 likes
  • 2 in conversation