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st: Event study
Dear stata users,
I am planning to do an event study for the first time and need some advice.
Before I ask my question, here is what I plan to test-- How does stock market reacts to rating announcements?
For my study I have a small sample of 29 companies and there are two announcements made till now. I have data on these companies from the year 2005 till date. I have defined the estimation and event window (3 day event window) and calculated abnormal returns for the event windows. Then I calculated cumulative abnormal return by aggregating abnormal return over the window. So basically, I have two cumulative abormal return for each company (for two announcement). Does the methodology sounds fine? Please advice.
I am not sure how to test the significance of these abnormal returns?
Thank you in advance
Kanika
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