I am a research scholar working on event study. Following are the research queries if u plz provide a solution:
i) In an event study analysis if the event is a economic or macro event and the date is preannounced , can the analysis be done. My question is whether an event analysis could be done if the date is preannounced because a confusion arises while reading researches.
ii) What is the difference between a statistical model and economic model while estimating normal return.
iii) What exactly is the benefit of event analysis ?

Hey
Apologies for the delayed response
With regard to your queries, solutions are
(i) Yes, even after the pre-announcement of an event date you can still conduct an event study because pre-announcement of an event leads to market forecasting which affects the predictions about the returns and cash flows. Thus, still, impact on the stock price of the event could be studied.
(ii) The statistical model for estimating normal returns is based on statistical assumptions about the behavior of asset or stock returns while the economic model of normal returns does not include statistical assumptions but instead consists of assumptions about investor behavior.
(iii) Event analysis helps in determining or predicting the impact of a specific event on the financial performance of the business thus it suggest the changes required in the business for meeting the upcoming market condition and fulfilling the goals.

When calculating the return of the share you consider the return to be the difference in closing prices between T and T-1, divided by the closing price at T-1.

Instead of using the closing price at T-1, is it not more appropriate to use the opening price at T?

Given that the opening price is a better reflection of the starting price on day T, due to the possibility of price fluctuations between the markets closing (closing price at T-1) and the markets opening (opening price at T).

Hey
Apologies for the delayed response
Return of the share represents the gain or loss from the investment due to a change in the price of the share. As closing price represents the last price of the day and identifies the overall volume and trend in the share price thus the actual value of the share could only be determined by the last value of the day. Thus, closing price is chosen over the opening price for computing return on share.

Function s there in Excel. It’s there in YouTube video also how to calculate AR market model. Intercept(ri) ri is d firm returns. Slope(ri). Beta and alpha.

sir
while calculating the slope and intercept should i leave the event period that is if the event period is 41 window then while calculating the slope should i leave the pre 20 days from the calculation of slope?

Sir,
How to calculate the standard deviation for the period(-5,-4),(-5,-3)(-5,-2)(-5,-1)(-5,-0)(-5,-1) and so on when cumulative Average Abnormal return(CAAR)/standard deviations is the statistical test
Period AAR period CAAR Std devi
-5 .40 (-5,-5) .40 ???
-4 .77 (-5,-4) 1.16 ???
-3 .81 (-5,-3) 1.97
-2 -.18 (-5,-2) 1.80
-1 .11 (-5,-1) 1.91
-0 .27 (-5,0) 2.17
1 -.30 (-5,1) 1.87
2 -.78 (-5,2) 1.09
3 -.93 (-5,3) 2.02
4 .63 (-5,4) 2.64
5 -.16 (-5,5) 2.48

4 years & 5 months ago

Dear sir,

Greetings of the day…

I am a research scholar working on event study. Following are the research queries if u plz provide a solution:

i) In an event study analysis if the event is a economic or macro event and the date is preannounced , can the analysis be done. My question is whether an event analysis could be done if the date is preannounced because a confusion arises while reading researches.

ii) What is the difference between a statistical model and economic model while estimating normal return.

iii) What exactly is the benefit of event analysis ?

^{}4 years & 4 months ago

Hey

Apologies for the delayed response

With regard to your queries, solutions are

(i) Yes, even after the pre-announcement of an event date you can still conduct an event study because pre-announcement of an event leads to market forecasting which affects the predictions about the returns and cash flows. Thus, still, impact on the stock price of the event could be studied.

(ii) The statistical model for estimating normal returns is based on statistical assumptions about the behavior of asset or stock returns while the economic model of normal returns does not include statistical assumptions but instead consists of assumptions about investor behavior.

(iii) Event analysis helps in determining or predicting the impact of a specific event on the financial performance of the business thus it suggest the changes required in the business for meeting the upcoming market condition and fulfilling the goals.

5 years & 1 month ago

Hi,

When calculating the return of the share you consider the return to be the difference in closing prices between T and T-1, divided by the closing price at T-1.

Instead of using the closing price at T-1, is it not more appropriate to use the opening price at T?

Given that the opening price is a better reflection of the starting price on day T, due to the possibility of price fluctuations between the markets closing (closing price at T-1) and the markets opening (opening price at T).

^{}4 years & 4 months ago

Hey

Apologies for the delayed response

Return of the share represents the gain or loss from the investment due to a change in the price of the share. As closing price represents the last price of the day and identifies the overall volume and trend in the share price thus the actual value of the share could only be determined by the last value of the day. Thus, closing price is chosen over the opening price for computing return on share.

5 years & 4 months ago

Function s there in Excel. It’s there in YouTube video also how to calculate AR market model. Intercept(ri) ri is d firm returns. Slope(ri). Beta and alpha.

5 years & 5 months ago

The article is very helpful… How to get the beta and alpha values for for the window period. I am conducting research on the same ,kindly suggest.

5 years & 8 months ago

sir

while calculating the slope and intercept should i leave the event period that is if the event period is 41 window then while calculating the slope should i leave the pre 20 days from the calculation of slope?

6 years & 1 week ago

Sir,

How to calculate the standard deviation for the period(-5,-4),(-5,-3)(-5,-2)(-5,-1)(-5,-0)(-5,-1) and so on when cumulative Average Abnormal return(CAAR)/standard deviations is the statistical test

Period AAR period CAAR Std devi

-5 .40 (-5,-5) .40 ???

-4 .77 (-5,-4) 1.16 ???

-3 .81 (-5,-3) 1.97

-2 -.18 (-5,-2) 1.80

-1 .11 (-5,-1) 1.91

-0 .27 (-5,0) 2.17

1 -.30 (-5,1) 1.87

2 -.78 (-5,2) 1.09

3 -.93 (-5,3) 2.02

4 .63 (-5,4) 2.64

5 -.16 (-5,5) 2.48