Negative volume in a volume event study

Question: I'm running a volume event study and wondering, how does one get negative volume? Also what is the scale?

Answer: The event study is done on relative volume, sometimes called turnover, which is raw share volume scaled by shares outstanding. The default is to use log of relative volume as suggested in the literature, so negative values are common. If you want to run the event study on straight relative volume, not logged, use the NoLogTrans option of the EvtStudy statement.