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Event Study Estimations Using Stata: The Estudy Command

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References

1993Common risk factors in the returns on stocks and bonds26,615 cited
1985Using daily stock returns6,497 cited
1997Event Studies in Economics and Finance4,623 cited
1991Event-study methodology under conditions of event-induced variance1,777 cited
1976Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test1,749 cited
2007Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance.841 cited
1998The Event Study Methodology Since 1969826 cited
2008Measuring Abnormal Bond Performance655 cited
2010Event Study Testing with Cross-sectional Correlation of Abnormal Returns648 cited
2011Nonparametric rank tests for event studies266 cited

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2020An analysis of the stock market reaction to the announcements of the UK Soft Drinks Industry Levy43 cited
2018Market reactions to ECB policy innovations: A cross-country analysis23 cited

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