Stata

Econ 490 (007) Winter Session Term 2, January 2017 M. Vaney Computer Lab 3 Due: This lab assignment is due Wednesday February 8. The objective in this lab is to carry out an event study following a methodology similar to the study outlined in MacKinlay (1997) 1. Event: Measure the impact of a commercial airline crash on stock performance. 2. Data: For the period 2002 - 2014, use internet resources to collect data on the date of the airline crash and whether there were any fatalities. Airlines must be listed on the NYSE. (http://topforeignstocks.com/stock-lists/the-complete-list-of-airline-stocks-onthe-nyse/) 3. Let t = 0 be the date of the event. DeÖne the Event Window to include 2 trading days before the event and 20 days following the event. DeÖne the Estimation Window to be 120 days preceding the Event Window. 4. Use the Fama French 3 factor model to establish normal (daily) returns. References MacKinlay, A.C. 1997. Event Studies in Economics and Finance. JEL, 35: 13-39. 1