How to apply the event study methodology using STATA: an overview and a step-by-step guide for authors

Subhan Ullah, Ghasem Zaefarian, Rizwan Ahmed, Danson Kimani

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    Abstract

    The event study methodology, which is gaining recognition in the business and marketing disciplines, is a technique used to capture the impact of significant events and announcements at the firm level and country level. Originating from the finance and economics disciplines, and being widely used in the finance literature, the method has recently attracted the attention of business and marketing researchers, particularly in the aftermath of Covid-19, which has adversely affected all kinds of businesses across the world. The event study methodology can be implemented to measure the impact of a major corporate announcement (e.g. new product development) or a significant event on corporate financial performance, profitability, and market valuation over a specific event window, such as a few days (a short window) or a few years (a long window). In this article, we provide a detailed explanation of the step-by-step procedure for implementing the event study methodology in STATA, using Covid-19-related death announcements from the United States, France, Spain, Italy, China, and the United Kingdom. We also provide STATA commands that can be used by researchers when implementing the event study methodology.
    Original languageEnglish
    Pages (from-to)1-12
    JournalIndustrial Marketing Management
    Volume2021
    Issue number00
    Early online date22 Mar 2021
    DOIs
    Publication statusE-pub ahead of print - 22 Mar 2021

    Keywords

    • event study
    • research methodology
    • corporate announcement
    • COVID-19
    • STATA commands

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