研究数据普通数据

Stata事件研究法分组分析案例

数据格式 Excel / Stata / CSV / Stata代码 / PDF / RAR更新日期

数据摘要

资料围绕事件研究的分组分析，提供股票与市场收益、事件日期数据、Stata代码及分组输出结果。可用于学习事件窗口中的异常收益分析，并结合实际事件设定比较不同样本组的资本市场反应。

基本信息

数据频率日度
当前预览样本量2425505 行
文件格式Excel / Stata / CSV / Stata代码 / PDF / RAR
文件包大小359.03 MB
包含内容数据表19份、代码1份、文档1份、图片2份、压缩文件5份
所属分类

测算方法

以公司事件对应的交易日为基准，公告日在非交易日时顺延至下一交易日。设置估计窗口为事件前第110至第11个交易日，事件窗口为前后10个交易日，剔除估计窗口不足100个交易日的事件。采用综合A股和创业板市场的现金红利再投资、市值加权市场收益率，在估计窗口内逐事件估计市场模型，预测事件窗口正常收益率；异常收益率AR为实际个股收益率与预测收益率之差，累计异常收益率CAR为窗口内AR的累计值。按相对事件交易日计算平均异常收益率AAR和平均累计异常收益率CAAR，并分组绘制动态曲线。对日度异常收益及不同事件区间的累计异常收益进行均值检验，并比较组间累计异常收益差异。

以下字段、样本量及样本仅对应当前展示的数据表，不代表资料包全部文件。查看文件结构

字段列表共 4 个字段

字段含义 / 说明类型均值标准差最小值最大值缺失率
stkcdStkcd整数304223.023253462.560626039930.0000%
交易日期Trddt文本————0.0000%
个股回报率Dretwd数值0.00062492394780.03855609716-0.54356616.7725920.0000%
市场回报率考虑现金红利再投资的综合日市场回报率(流通市值加权平均法)数值9.330882723e-050.01678954681-0.0940950.0993060.0000%

数据样本预览

资料样本（部分数据）

仅可预览前100 行、100 列，滚动查看其余行列，完整数据以下载文件为准。

stkcd交易日期个股回报率市场回报率
6008152008-01-020.0499240.016699
9692008-01-020.0600320.016699
4882008-01-020.0662540.016699
6000052008-01-02-0.0203050.016699
6072008-01-020.0477610.016699
6005922008-01-020.0323210.016699
8012008-01-020.0314180.016699
9022008-01-020.1003910.016699
6006182008-01-020.0413970.016699
5842008-01-020.0042080.016699
9992008-01-02-0.0037750.016699
8382008-01-020.0367810.016699
7892008-01-020.0605240.016699
4282008-01-020.0335290.016699
6000312008-01-02-0.0122720.016699
9292008-01-020.0325940.016699
9772008-01-020.040710.016699
7112008-01-020.0223640.016699
6001902008-01-020.0240670.016699
6972008-01-020.0415510.016699
6007402008-01-020.0412370.016699
6007752008-01-020.0622140.016699
6008042008-01-020.1000660.016699
502008-01-020.0603260.016699
6004602008-01-020.0429920.016699
6612008-01-020.0160540.016699
6002532008-01-020.024590.016699
7382008-01-020.050.016699
6008302008-01-020.0177380.016699
6003032008-01-020.0286640.016699
6008012008-01-020.0450030.016699
8262008-01-020.0232310.016699
7222008-01-020.0213480.016699
662008-01-020.0286420.016699
5072008-01-020.0292260.016699
6001602008-01-020.088190.016699
6002582008-01-020.0667080.016699
7882008-01-020.0368960.016699
4262008-01-020.10.016699
6007972008-01-020.0226320.016699
6622008-01-020.0147740.016699
3382008-01-02-0.0198610.016699
6009002008-01-020.0015390.016699
6010072008-01-020.031960.016699
6000632008-01-020.0358530.016699
9832008-01-02-0.0404920.016699
6008882008-01-020.0077810.016699
6002402008-01-020.0704310.016699
422008-01-020.0077960.016699
6002672008-01-020.0497480.016699
7152008-01-020.017160.016699
6004782008-01-020.0451450.016699
6007482008-01-020.0571120.016699
6006932008-01-020.0677570.016699
6008692008-01-020.0287650.016699
7932008-01-020.0895810.016699
8222008-01-020.0134110.016699
6000892008-01-02-0.0003090.016699
6005212008-01-020.0845020.016699
5682008-01-02-0.030340.016699
6102008-01-020.0483870.016699
8482008-01-0200.016699
6002732008-01-020.0353360.016699
7922008-01-020.068310.016699
6082008-01-020.0782490.016699
7962008-01-020.0507810.016699
6008872008-01-020.0859190.016699
8362008-01-020.0157750.016699
6000982008-01-020.0163930.016699
5112008-01-020.043440.016699
6008322008-01-020.0482190.016699
7162008-01-020.0339180.016699
6007942008-01-020.0344040.016699
5052008-01-020.0292840.016699
5392008-01-020.0312930.016699
5192008-01-020.0255520.016699
6001102008-01-020.0348430.016699
8392008-01-020.0866670.016699
4192008-01-020.0148330.016699
902008-01-020.0212670.016699
6682008-01-020.011390.016699
6001532008-01-020.0320090.016699
6007262008-01-020.0072360.016699
6008652008-01-020.0206940.016699
4172008-01-020.0207790.016699
6002852008-01-020.0169180.016699
6000682008-01-020.0227570.016699
202008-01-020.0173560.016699
6003892008-01-020.076050.016699
6062008-01-020.0282810.016699
552008-01-020.0368610.016699
7512008-01-02-0.0069120.016699
562008-01-020.011470.016699
6004222008-01-020.0160490.016699
6003602008-01-020.0589520.016699
6003662008-01-020.0313220.016699
6122008-01-02-0.0430520.016699
8852008-01-0200.016699
6872008-01-020.0107680.016699
5482008-01-020.0104310.016699

代码公开披露

仅展示前 30 行，供了解变量构造与处理流程，完整代码请下载文件查看。

'
* 切换到数据所在路径(根据自己路径修改)
* 本行含来源标识或本地路径，未公开


* 结果输出路径
* 本行含来源标识或本地路径，未公开

*==========================================================
*                     基础数据整理
*==========================================================

*= 导入事件日期数据
import excel 事件日期.xlsx, firstrow clear
save 事件日期.dta, replace

*= 导入日个股回报率数据
* 数据分别命名成 TRD_Dalyr1  TRD_Dalyr2 TRD_Dalyr3 ....
forvalues i=1/4 {
	import delimited TRD_Dalyr`i'.csv, encoding(utf-16) clear
	save 日个股回报率`i'.dta, replace
}

* 合并数据
* 使用append 纵向合并
clear
forvalues i=1/4 {
   append using 日个股回报率`i'.dta
}
* 重命名变量