SAS: Regressions of times around an event

I am reading myself into event studies and need to regress the pre-announcement day volatility (daily) on the announcement days t0 and t1

Return(t0,t+1) = Volatility(t-5 to t-1) + Controls.

thus, I tried to create a dummy which is 0 in t-5 until t-1 and 1 in t0 and t+1. Then I set return to . if dummy not equal 1 and volatility to . if dummy not equal 0. Then:

proc reg data=regdata;
    model return = volatility + control1 + control2; 
quit;

Obviously, dependent and independent variables' data is in different observations. The program has no valid observations.

Event_time  return  volatility
-5                     0.5
-4                     0.4
-3                     0.6
-2                     0.2
-1                     0.4 
 0            0.05
 1            0.06

How can I achieve this?

Thanks in advance!

1 Answer

  1. Gabriel- Reply

    2019-11-13

    I did it by doing a proc means by stock and re-merging the new day 0 and 1 mean value to the pre-announcement window.

Leave a Reply

Your email address will not be published. Required fields are marked *

You can use these HTML tags and attributes <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>