Sage Journals: Discover world-class research

Abstract

Get full access to this article

View all access options for this article.

References

Aït-Sahalia

Mykland

P. A.

Zhang

2005. How often to sample a continuoustime process in the presence of market microstructure noise. Review of Financial Studies 18: 351–416. https://doi.org/10.1093/rfs/hhi016.

Aquilina

Budish

O’Neill

2021. Quantifying the high-frequency trading “arms race”. NBER Working Paper 29011, National Bureau of Economic Research. https://doi.org/10.3386/w29011.

Bandi

F. M.

Russell

J. R.

2006. Separating microstructure noise from volatility. Journal of Financial Economics 79: 655–692. https://doi.org/10.1016/j.jfineco.2005.01.005.

Barclay

M. J.

Litzenberger

R. H.

1988. Announcement effects of new equity issues and the use of intraday price data. Journal of Financial Economics 21: 71–99. https://doi.org/10.1016/0304-405X(88)90032-3.

Cox

N. J.

2022. FAQ: Replacing missing values. https://www.stata.com/support/faqs/data-management/replacing-missing-values/.

Dolley

J. C.

1933. Characteristics and procedures of common stock split-ups. Harvard Business Review 11: 316–326.

Fama

E. F.

Fisher

Jensen

M. C.

Roll

1969. The adjustment of stock prices to new information. International Economic Review 10: 1–21. https://doi.org/10.2307/2525569.

Kaspereit

2015. eventstudy2: Stata module to perform event studies with complex test statistics. Statistical Software Components S458086, Department of Economics, Boston College. https://ideas.repec.org/c/boc/bocode/s458086.html.

Kaspereit

2021. Event studies with daily stock returns in Stata: Which command to use? Stata Journal 21: 462–497. https://doi.org/10.1177/1536867X211025835.

10.

Lennart

2023. How Elon Musk’s Twitter activity moves cryptocurrency markets. Technological Forecasting and Social Change 186: Article 122112. https://doi.org/10.1016/j.techfore.2022.122112.

11.

MacKinlay

A. C.

1997. Event studies in economics and finance. Journal of Economic Literature 35: 13–39.

12.

Marshall

B. R.

Nguyen

Visaltanachoti

2019. A note on intraday event studies. European Accounting Review 28: 605–619. https://doi.org/10.1080/09638180.2018.1530606.

13.

Morse

1984. An econometric analysis of the choice of daily versus monthly returns in tests of information content. Journal of Accounting Research 22: 605–623. https://doi.org/10.2307/2490667.

14.

Pacicco

Vena

Venegoni

2018. Event study estimations using Stata: The estudy command. Stata Journal 18: 461–476. https://doi.org/10.1177/1536867X1801800211.

15.

Pacicco

Vena

Venegoni

2021a. From common to firm-specific event dates: A new version of the estudy command. Stata Journal 21: 141–151. https://doi.org/10.1177/1536867X211000010.

16.

Pacicco

Vena

Venegoni

2021b. Software Updates: st0532_3: Event study estimations using Stata: The estudy command. Stata Journal 21: 1081. https://doi.org/10.1177/1536867X211063150.

17.

Zhang

2013. eventstudy: Stata module to perform event studies in finance. Statistical Software Components S457615, Department of Economics, Boston College. https://econpapers.repec.org/software/bocbocode/s457615.htm.

Stata tip 155: How to perform high-frequency event studies

Abstract

Get full access to this article

References