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

Ullah, Subhan and Zaefarian, Ghasem and Ahmed, Rizwan and Kimani, Danson (2021) 'How to apply the event study methodology in STATA: An overview and a step-by-step guide for authors.' Industrial Marketing Management, 99. A1-A12. ISSN 0019-8501

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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.

Item Type: Article
Uncontrolled Keywords: Event study; Research methodology; Corporate announcement; Covid-19; STATA commands
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 13 May 2021 12:20
Last Modified: 23 Sep 2022 19:45

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