monthly data and daily data
Posted: 20 September 2011 09:42 PM   [ Ignore ]
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For event study, there are two classical papers (Brown and Warner 1980, Brown and Warner 1985).
Brown and Warner 1980 is using monthly data from CRSP, and Brown and Warner 1985 is using daily data.

Do you have any note or sas codes for these two paper?

Thanks!

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Zenghui
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Posted: 21 September 2011 09:00 AM   [ Ignore ]   [ # 1 ]
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hi,

Brown and Warner (1985) is based on daily stock returns. On pages 6-7 they introduce several measures:
- mean adjusted returns
- market adjusted returns
- OLS market model

In examples ‘restatement event study’ (http://www.wrds.us/index.php/tutorial/view/17) and ‘erc event study’ (http://www.wrds.us/index.php/tutorial/view/18)  there is code that computes:
- raw return (not in BW 1985)
- OLS market model
- size adjusted return (example ‘erc event study’ ) (not in BW 1985, but commonly used)

The code for ‘market adjusted returns’ is easily constructed (assume alpha is zero, and beta is 1) from example ‘restatement event study’.
Using ‘mean adjusted returns’ seems to be less common, but please correct me if I am wrong.

Brown and Werner 1980 is based on monthly returns (same measures). Writing code for that should be straightforward (daily stock returns are replaced by monthly stock returns). If you run into trouble writing that code, feel free to post it here.

best,

Joost

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To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

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Posted: 07 September 2012 08:31 PM   [ Ignore ]   [ # 2 ]
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After one year, I feel i understand more about these definitions now.

Thanks Joost!

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Zenghui
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Posted: 08 October 2013 05:20 PM   [ Ignore ]   [ # 3 ]
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Joost Impink - 21 September 2011 09:00 AM

hi,

Brown and Warner (1985) is based on daily stock returns. On pages 6-7 they introduce several measures:
- mean adjusted returns
- market adjusted returns
- OLS market model

In examples ‘restatement event study’ (http://www.wrds.us/index.php/tutorial/view/17) and ‘erc event study’ (http://www.wrds.us/index.php/tutorial/view/18)  there is code that computes:
- raw return (not in BW 1985)
- OLS market model
- size adjusted return (example ‘erc event study’ ) (not in BW 1985, but commonly used)

The code for ‘market adjusted returns’ is easily constructed (assume alpha is zero, and beta is 1) from example ‘restatement event study’.
Using ‘mean adjusted returns’ seems to be less common, but please correct me if I am wrong.

Brown and Werner 1980 is based on monthly returns (same measures). Writing code for that should be straightforward (daily stock returns are replaced by monthly stock returns). If you run into trouble writing that code, feel free to post it here.

best,

Joost

Hi Joost, I have a question here. In the first link, the returns are not adjusted by risk free rate in the OLS market model. Should we adjust all the returns with the risk free rate?

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Posted: 08 October 2013 06:42 PM   [ Ignore ]   [ # 4 ]
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hi Luckygirl2009,

If I remember correctly, the market model (in accounting research) is usually done without subtracting the risk-free rate. (But of course it would be fine to do so)

best regards,

Joost

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