Replicate the analysis of the event study in Applied Financial Economics, 2011

Data Files

The paper analyzes alternative returns series that both include and omit dividends:

Without dividends

With dividends

TSP command files

The paper uses both the constant expected return model and the market model to treat normal returns:

Constant expected return model, without dividends

Constant expected return model, with dividends

Market model, without dividends

Market model, with dividends

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Revised September 2011