st: RE: event study with Fama/French factors

["Martin Weiss" <martin.weiss1@gmx.de>]

<>

You must be hoping that there is some specialist longing to check your code
out there. He/she would have a hard time in the absence of detailed
information on your data/goals of analysis... 

I am afraid this list has members from all kinds of academic disciplines, so
the least you have to provide is a citation for Fama/French, even though
among economists and business administrators it would not be necessary. 


HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schöler, Lisa
Sent: Freitag, 13. August 2010 13:45
To: statalist@hsphsun2.harvard.edu
Subject: st: event study with Fama/French factors

Dear Statalist,

I want to run an event study with stata using the Fama/French three factor
model to predict the expected return. I am not sure if the following comands
are correct for the expected return:

***ESTIMATING NORMAL PERFORMANCE***
set more off /* this command just keeps stata from pausing after each screen
of output */
gen predicted_return=.
egen id=group(group_id) 
 /* for multiple event dates, use: egen id = group(group_id) */
forvalues i=1(1)219 { /*note: replace N with the highest value of id */ 
 l id group_id if id==`i' & dif==0
 reg ret market_return_minus_risk_free smb hml if id==`i' &
estimation_window==1 
 predict p if id==`i'
 replace predicted_return = p if id==`i' & event_window==1 
 drop p
} 

Can anybody tell me if this is correct or if missed something?

Best
Lisa
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/