------------------------------------------------------------------------------------------------------------------------------------------------------------------ . ssc install estudy checking estudy consistency and verifying not already installed... all files already exist and are up to date. . help estudy . * Osa 1, tunnuste grupi loomine . vl create aktsiad1 = (ret_apple ret_netflix ret_google ret_facebook) note: $aktsiad1 initialized with 4 variables. . * Osa 2 . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) Event study with common event date Event date: 09jul2015, with 1 event windows specified, under the Normality assumption SECURITY CAAR[-1,5] ----------------------------------------------------------- Apple Inc -0.67% Netflix Inc 17.62%** Alphabet Inc 7.35%*** Facebook Inc 1.55% Ptf CARs n 1 (4 securities) 6.64%*** CAAR group 1 (4 securities) 6.70%*** ----------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) showpvalues Event study with common event date Event date: 09jul2015, with 1 event windows specified, under the Normality assumption SECURITY CAAR[-1,5] ----------------------------------------------------------- Apple Inc -0.67% (0.8247) Netflix Inc 17.62%** (0.0103) Alphabet Inc 7.35%*** (0.0063) Facebook Inc 1.55% (0.6599) Ptf CARs n 1 (4 securities) 6.64%*** (0.0069) CAAR group 1 (4 securities) 6.70%*** (0.0022) ----------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 p-values in parentheses . * Osa 2e, mällu salvestatud maatriksid . return list, all matrices: r(cars) : 6 x 1 r(pv) : 6 x 1 r(sd) : 6 x 1 r(stats) : 6 x 1 r(ar) : 504 x 6 . matrix list r(sd) r(sd)[6,1] CAAR(-1, 5) Apple Inc .03018324 Netflix 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indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) graph(-3 5) Event study with common event date Event date: 09jul2015, with 1 event windows specified, under the Normality assumption SECURITY CAAR[-1,5] ----------------------------------------------------------- Apple Inc -0.67% Netflix Inc 17.62%** Alphabet Inc 7.35%*** Facebook Inc 1.55% Ptf CARs n 1 (4 securities) 6.64%*** CAAR group 1 (4 securities) 6.70%*** ----------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 . * CAR graafikud uues aknas . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) graph(-3 10) Event study with common event date graph varlist_1_variable_1 already exists r(110); . * Eelnevate graafikute kustutamine . graph drop _all . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) graph(-3 10) Event study with common event date Event date: 09jul2015, with 1 event windows specified, under the Normality assumption SECURITY CAAR[-1,5] ----------------------------------------------------------- Apple Inc -0.67% Netflix Inc 17.62%** Alphabet Inc 7.35%*** Facebook Inc 1.55% Ptf CARs n 1 (4 securities) 6.64%*** CAAR group 1 (4 securities) 6.70%*** ----------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 . * Osa 3, mitu sündmusakent . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-3) ub1(3) lb2(-1) ub2(5) lb3(-1) ub3(10) eswlb(-279) eswub(-30) Event study with common event date Event date: 09jul2015, with 3 event windows specified, under the Normality assumption SECURITY CAAR[-3,3] CAAR[-1,5] CAAR[-1,10] --------------------------------------------------------------------------------------- Apple Inc -3.09% -0.67% -2.54% Netflix Inc 3.87% 17.62%** 13.45% Alphabet Inc 5.31%** 7.35%*** 20.34%*** Facebook Inc 0.66% 1.55% 7.64% Ptf CARs n 1 (4 securities) 1.65% 6.64%*** 10.11%*** CAAR group 1 (4 securities) 1.71% 6.70%*** 10.22%*** --------------------------------------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 . * Osa 4a KP test . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) diagn(KP) Event study with common event date Event date: 09jul2015, with 1 event windows specified, using the Boehmer, Musumeci, Poulsen test, with the Kolari and Pynnonen adjustment SECURITY CAAR[-1,5] ----------------------------------------------------------- Apple Inc -0.67% Netflix Inc 17.62%** Alphabet Inc 7.35%*** Facebook Inc 1.55% Ptf CARs n 1 (4 securities) 6.64%*** CAAR group 1 (4 securities) 6.70% ----------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 . * Osa 4b. üldistatud astaktest . estudy $aktsiad1, datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279) eswub(-30) diagn(GRANK) Event study with common event date Event date: 09jul2015, with 1 event windows specified, using the Generalised Rank test by Kolari and Pynnonen SECURITY CAAR[-1,5] ----------------------------------------------------------- Apple Inc -0.67% Netflix Inc 17.62%** Alphabet Inc 7.35%*** Facebook Inc 1.55% Ptf CARs n 1 (4 securities) 6.64%*** CAAR group 1 (4 securities) 6.70% ----------------------------------------------------------- *** p-value < .01, ** p-value <.05, * p-value <.1 . * Osa 5, mitu aktsiate gruppi . estudy $aktsiad1 ret_amazon ( ret_ibm ret_cocacola ret_boa ret_ford ret_boeing ), datevar(date) evdate(07092015) datef(MDY) indexlist(ret_mkt) lb1(-1) ub1(5) eswlb(-279 > ) eswub(-30) diagn(KP) Event study with common event date Event date: 09jul2015, with 1 event windows specified, using the Boehmer, Musumeci, Poulsen test, with the Kolari and Pynnonen adjustment SECURITY CAAR[-1,5] ------------------------------------------------------------ Apple Inc -0.67% Netflix Inc 17.62%** Alphabet Inc 7.35%*** Facebook Inc 1.55% Amazon com Inc 5.79% Ptf CARs n 1 (5 securities) 6.46%*** CAAR group 1 (5 securities) 6.53%* ------------------------------------------------------------ IBM Corp 2.22% The Coca-Cola Company 2.11% Banks of America Corporation 5.03%* Ford Motor Company -3.64% The Boeing Company 1.90% Ptf CARs n 2 (5 securities) 1.52% CAAR group 2 (5 securities) 1.55% ------------------------------------------------------------ *** p-value < .01, ** p-value <.05, * p-value <.1 --------------------------------------------------------------------------------------------------------------------------------------------------------------------------