event study: Employee Strikes
Part1： Fix the data in excel. All raw data are correct, but there are some calculate mistakes
(1) cover sheet
(2) tab with raw prices (from yahoo). If you used WRDS you could skip this step
(3) tab with raw price returns (a shadow spreadsheet).
(4) tab with raw index levels (these are NOT prices). If you used WRDS, you could skip this step.
(5) tab with raw index returns (a shadow spreadsheet)
(6) Tab with market-adjusted returns (raw return – index return)
(7) estimate alpha and beta. Technically you would run regression (find slope) using excess raw returns and excess index (market) returns – this would require using contemporaneous RF rate. A simplified approximation would find slopes between raw returns and market (index) returns
(8) Calculate expected return using estimates from (7) and index (market) return.
(9) Calculate abnormal return (raw return – excess return)
(10) Use abnormal returns from (9) as DV in regression
(11) Regression should include several relevant (you decide!) independent variables. You will need to collect additional data for this step.
(12) Use abnormal returns to estimate t-statistics for all intervals (for raw returns, market-adjusted returns and abnormal returns)
part2：Base on the excel and some articles. Please write a 6 pages event study report. In the report, you should list a self-made formula to calculate the event influence.
E.g: Influence= D0+D1*company size+D2*duration+D3*number of employee striked+etc.
Deliverable is Word file (not pdf) of report following basic academic format: abstract, introduction, data/sample, methodology, empirical tests and results, conclusions and limitations.
Preferred language style Simple (Easy vocabulary, simple grammar constructions)
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