This simple and enjoyable video discusses event study methodologies. My event study paper on the Russia-Ukraine conflict is downloadable at doi.org/10.3390/jrfm16050256.
Hello Sir, thank you for the explanation video, i would ask something, Should the confounding event in the estimation period be excluded? or just exclude it from the event period only?
Can you please conduct a walkthrough for an event study of 200 M&A transactions using the Market method? How do I perform t-test on the cross-sectional average abnormal return for these 200 M&As over 200 days of estimation period and 20 days of event period?
Dear author, thank you for the video. The methodology is well described. Now I am on the stage of modelling, but in Stata, not in Excel, are you familiar with this software?
One of the best explanations I've found. Concise and effective! I have a question. I am analyzing indexes rather than the traditional company to a benchmark, as in your example. Specifically, I am using daily data on the G7 and BRICS Nations Indexes (CAC, FTSE, NIFTY etc) and will use the MSCI World as the 'market' benchmark/comparison. Which method would be most appropriate for this? The Market Model? Unless I am mistaken, I cannot use the RAR method given the beta and alpha is already taken care of in an index and thus would be pointless?
hallo!!Thnx for the tutoring is very enlightening!!Out of curiosity, couldnt we just calculate the regression in the last model and then use its residuals in order to calculate risk adjusted returns model?? thnk you very much!
Dear Sir Wonderful explanation. Can you please share that excel sheet so that we can have a hands on approach. I tried to download the data from Yahoo but there are some discrepencies
H, i'm writting a bachelor thesis about the effects of video-game announcements on the firms share price. I wanted to ask which method you suggest for a thesis like that, or should i even do all 3 methods? Thanks & great video!
That's an interesting study! How did it turn out? I'd be interested in reading it. I'm doing a dissertation on effects of breach announcements on the firm's share price.
Hey Pat, I am trying to conduct an event study over a whole industry and across different countries including different currencies (EURO, YEN, etc.). How do I have to deal with the different currencies? Do I have to set a base unit (e.g., USD)? Thanks a lot
Solomon Opare: For each company, calculate each day's AR around its own event, say 5 days before and 5 days after. Then line up the days across the firms and calculate the average AR for each day within the event window.
Sir I would like to calculate a 3 day window, 10 day window and 41 day window so is there a problem if i take 41 day window for calculating the intercept, slope and then apply for all the windows the same??
The slope and intercept estimates can be used for all event windows. However be sure to calculate these estimates from the estimation period, which is a 'clean' period outside of the event windows.
Thanks! Great presentation. If the abnormal returns were positive, how would you test if they are significantly different from zero? Please make a video with this as well. Please try to organize your videos into playlists, so viewers could browse them easily.
Hamdani Imed: The basic process is to divide each AR by the std error. However the std error uses parameter estimates from the estimation period. Pls confirm by taking a look at the literature. Thanks.
@@PatObi Thank you for your reply. If I have to check for abnormal returns would it be better to take previous day since our event day is holiday and then compare it with abnormal return of next trading day, that is say Tuesday.. If my original event day is Sunday(for which friday price is taken) ?
so for the first method, the means adjusted returns, we cannot calculate a beta, intercept and standard deviation right, because we dont compare it to a market?
@@PatObi Thanks for your answer. How do you calculate statistical significance, t and z values for the means adjusted returns model? Since I am not comparing to a market, so I dont have a beta. :S
