Complete methodology for computing publication-quality cumulative abnormal returns with proper event-study test statistics, matching the robustness of Kaspereit's eventstudy2 for Stata. Covers dateline construction, event-date mapping, estimation and event windows, thin-trading adjustment, OLS with
Complete methodology for computing publication-quality cumulative abnormal returns with proper event-study test statistics, matching the robustness of Kaspereit's eventstudy2 for Stata. Covers dateline construction, event-date mapping, estimation and event windows, thin-trading adjustment, OLS with Theil prediction error correction, abnormal return computation, CAR/CAAR/AAR accumulation, boundary
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