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From | "Martin Weiss" <martin.weiss1@gmx.de> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: event study with Fama/French factors |
Date | Fri, 13 Aug 2010 15:45:19 +0200 |
<> 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/