How to Apply the Event Study Methodology in STATA? An Overview and a Step-by-Step Guide for Authors

Ullah, Subhan; Zaefarian, Ghasem; Ahmed, Rizwan; Kimani, Danson

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.

Citation

Ullah, S., Zaefarian, G., Ahmed, R., & Kimani, D. (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. https://doi.org/10.1016/j.indmarman.2021.02.004

• Journal Article Type: Editorial
• Acceptance Date: Feb 23, 2021
• Online Publication Date: Mar 22, 2021
• Publication Date: 2021-11
• Deposit Date: Mar 25, 2021
• Publicly Available Date: Mar 23, 2023
• Journal: Industrial Marketing Management
• Print ISSN: 0019-8501
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 99
• Pages: A1-A12
• DOI: https://doi.org/10.1016/j.indmarman.2021.02.004
• Keywords: Event study; Research methodology; Corporate announcement; Covid-19; STATA commands 2
• Public URL: https://nottingham-repository.worktribe.com/output/5414676
• Publisher URL: https://www.sciencedirect.com/science/article/abs/pii/S0019850121000328