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- Mon Dec 07, 2009 10:54 am
- Forum: Data Manipulation
- Topic: Conducting event studies in Eviews
- Replies: 0
- Views: 7506
Conducting event studies in Eviews
I would like to conduct an event study for 500 companies. That implies calculating abnormal returns (AR) and cumulative abnormal returns (CAR) which are defined in the following manner: AR(i,t)=R(i,t)- {a(i)+b(i)*R(m,t)}, where R(i,t) is the return of company i on day t, R(m,t) is the market return ...