csa
Senior Member
Posts: 296
Joined: Feb 2003
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Tue Mar 02, 10 05:05 AM
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Yes, because you don't know whether the cumulative abnormal return is significantly different from zero or not. For example, if you are calculating a two-day window for a certain event and one day was positive and the other day was negative, then the resulting CAR could be statistically insignificant, statistically significant and positive, or statistically significant and negative. Another example would be if you are looking at a two-day event window and the days are individually positive (negative) but not significant but the CAR could be positive (negative) and significant.
I don't know if there is a function in E-views to do this. But, you can read the reply I posted under your thread titled "event study" for calculating t-statistics. Note that there is no single way to calculate t-statistics for event studies, so you may find different methods from different sources. In practice, the resulting t-statistics aren't too different from one another.
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