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.
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