Dear all,
For a research we have to use the conditional market model for our event study on earnings announcements. We have daily stock return data of 1400 companies for a 6 year period. How can we make a panel data regression based on the daily stock returns in Stata? We want to regress the market return, a dummy for the event window and several control variables on the daily return. So we can calculate the beta for the whole sample. Any help would be much appreciated!
Thanks
Max
For a research we have to use the conditional market model for our event study on earnings announcements. We have daily stock return data of 1400 companies for a 6 year period. How can we make a panel data regression based on the daily stock returns in Stata? We want to regress the market return, a dummy for the event window and several control variables on the daily return. So we can calculate the beta for the whole sample. Any help would be much appreciated!
Thanks
Max