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. generate str aktsia = ""
(4,049 missing values generated)

. generate int kuup = .
(4,049 missing values generated)

. format %tdDD/NN/CCYY kuup

. replace aktsia = "ret_HAE" in 1
variable aktsia was str1 now str7
(1 real change made)

. replace kuup = date("05/05/2002","DMY") in 1
(1 real change made)

. replace aktsia = "ret_BLT" in 2
(1 real change made)

. replace kuup = date("07/06/2007","DMY") in 2
(1 real change made)

. estudy ret_HAE ret_BLT, datevar(date) evdate(aktsia kuup) dateformat(DMY) indexlist(ret_OMXT) lb1(-3) ub1(3
> ) lb2(-1) ub2(5) eswlbound(-40) eswubound(-5)

Event study with multiple event dates
Event study on multiple event dates, with 2 event windows specified, under the Normality assumption
SECURITY                      EVENT DATE  CAAR[-3,3]        CAAR[-1,5]
-------------------------------------------------------------------------------------
ret_HAE                       05may2002    -6.47%*           -3.41%
ret_BLT                       07jun2007   -67.96%***        -68.01%***
CAAR group 1 (2 securities)       -       -70.57%***        -69.08%***
-------------------------------------------------------------------------------------
*** p-value < .01, ** p-value <.05, * p-value <.1

. estudy ret_HAE ret_BLT, datevar(date) evdate(aktsia kuup) dateformat(DMY) indexlist(ret_OMXT) lb1(-3) ub1(3
> ) lb2(-1) ub2(5) eswlbound(-40) eswubound(-5) diagn(KP)

Event study with multiple event dates
Event study on multiple event dates, with 2 event windows specified, using the Boehmer, Musumeci, Poulsen tes
> t, with the Kolari and Pynnonen adjustment
SECURITY                      EVENT DATE  CAAR[-3,3]        CAAR[-1,5]
-------------------------------------------------------------------------------------
ret_HAE                       05may2002    -6.47%*           -3.41%
ret_BLT                       07jun2007   -67.96%***        -68.01%***
CAAR group 1 (2 securities)       -       -70.57%           -69.08%
-------------------------------------------------------------------------------------
*** p-value < .01, ** p-value <.05, * p-value <.1

. estudy ret_HAE ret_BLT, datevar(date) evdate(aktsia kuup) dateformat(DMY) indexlist(ret_OMXT) lb1(-3) ub1(3
> ) lb2(-1) ub2(5) eswlbound(-40) eswubound(-5) diagn(GRANK)

Event study with multiple event dates
Event study on multiple event dates, with 2 event windows specified, using the Generalised Rank test by Kolar
> i and Pynnonen
SECURITY                      EVENT DATE  CAAR[-3,3]        CAAR[-1,5]
-------------------------------------------------------------------------------------
ret_HAE                       05may2002    -6.47%*           -3.41%
ret_BLT                       07jun2007   -67.96%***        -68.01%***
CAAR group 1 (2 securities)       -       -70.57%*          -69.08%*
-------------------------------------------------------------------------------------
*** p-value < .01, ** p-value <.05, * p-value <.1

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