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

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Authors

SUBHAN ULLAH SUBHAN.ULLAH@NOTTINGHAM.AC.UK
Associate Professor in Accounting

Ghasem Zaefarian

Rizwan Ahmed

Danson Kimani



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

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