花了3天时间,包括一天的等待(回归过程真的好慢),终于搞清楚了用市场模型针对一个公司多个事件的超额回报率计算。
以下为stata的实现过程(借鉴了普林斯顿大学的教程https://dss.princeton.edu/online_help/stats_packages/stata/eventstudy.html):
*1.合并并购事件
use /Users/DATA/GTA_M&A_Main_累计超额收益率.dta, clear
joinby companyid using 日个股收益率07_19_total_merge.dta
*2.处理数据,生成dif /此处由于一个公司会有多个事件,所以需要sort 多个变量,其中 firstdeclaredate为并购的首次宣告日/
sort companyid firstdeclaredate date
by companyid firstdeclaredate :gen date_num = _n
by companyid firstdeclaredate :gen target = date_num if date == firstdeclaredate
egen td = min(target),by(companyid firstdeclaredate)
drop target
gen dif = date_num - td
*3.设定时间窗口
by companyid firstdeclaredate :gen event_window = 1 if dif >= -1 & dif <= 1
egen count_event_obs = count(event_window),by(companyid firstdeclaredate )
by comp