Event Studies using Eviews
Posted: Fri Nov 20, 2015 2:41 am
Dear all,
I'm new to Eviews, but I would like to learn how to work with it. I'm using Eviews9
I want to do an Event Study but I can't find any information on how to do this with Eviews and I have a few problems
I have to calculate the normal return of a stock by running 32 OLS regressions per stock, using those Bèta coefficients I can calculate the normal return by inserting the actual return in the regression equation to calculate the normal return.
Afterwards I have to substract the Actual return from the Normal return to find the Abnormal return.
So my questions:
1) how do you run 32 OLS regressions with having to do it manually ( they have all a different sample range)?
2) how do I calculate these normal returns, in other words how do i generate a new series using the alfa and Bèta from the OLS regression?
Thx for your help!
I'm new to Eviews, but I would like to learn how to work with it. I'm using Eviews9
I want to do an Event Study but I can't find any information on how to do this with Eviews and I have a few problems
I have to calculate the normal return of a stock by running 32 OLS regressions per stock, using those Bèta coefficients I can calculate the normal return by inserting the actual return in the regression equation to calculate the normal return.
Afterwards I have to substract the Actual return from the Normal return to find the Abnormal return.
So my questions:
1) how do you run 32 OLS regressions with having to do it manually ( they have all a different sample range)?
2) how do I calculate these normal returns, in other words how do i generate a new series using the alfa and Bèta from the OLS regression?
Thx for your help!