Comparing CARs between samples

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4 comments

  • Chloe Ho

    Hi Arnie, how does this differ if using non-CRSP data? Many thanks.

  • Arnie Cowan

    Thank you for the question. When using non-CRSP data, there is no difference in the parts that are specific to comparing CARs between samples. The elements specific to this purpose are:

    1. The use of OutWin= on the EvtStudy statements

    2. All the code beginning with the statement

    data complete;

  • Steven Savoy

    Hi Arnie,

    I may be mistaken, but it seems like the valueweightsample option cannot be used in conjunction with the short-long option in EvtStudy statements.  I believe the weights end up summing to 1 whereas it seems like the weights should sum to 0 (-1 for short side and 1 for long side).

    The above code was very helpful though, and I was able to use the SAS proc ttest with the weight option to accomplish what I needed.

    Regards,
    Steven

  • Arnie Cowan

    It's not correct to infer that the portfolio weights sum to 1 when ValueWeightSample is used with a mixture of short and long positions (Short option). The value weights are applied to returns that have already been sign-reversed for short securities, producing negative portfolio weights.

    However, good job bringing up the question whether the portfolio weights actually sum to zero. This is very timely as we recently added an option to ensure that exactly that happens. This is now documented at https://eventus.zendesk.com/knowledge/articles/360006202254/en-us?brand_id=257766.

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