Event Study: 1 Day Event Window
Posted: Mon Jul 25, 2016 11:33 am
Hi All,
Apologies if I am asking something fairly straight forward, I'm new to Eviews and Econometrics.
I am currently conducting an event study. I have used the market model to generate normal returns over an estimation period of 250 days. From this I have been able to get the Abnormal Returns required for the study. However, I am using a one day event window only and the Average Abnormal Returns significance tests that I have looked at seem to be unsuited for a one day event window.
I was wondering if anyone had any suggestions on how I could test the Average Abnormal Returns in this instance?
Thanks
Failtek
Apologies if I am asking something fairly straight forward, I'm new to Eviews and Econometrics.
I am currently conducting an event study. I have used the market model to generate normal returns over an estimation period of 250 days. From this I have been able to get the Abnormal Returns required for the study. However, I am using a one day event window only and the Average Abnormal Returns significance tests that I have looked at seem to be unsuited for a one day event window.
I was wondering if anyone had any suggestions on how I could test the Average Abnormal Returns in this instance?
Thanks
Failtek