Abnormal Returns using multi-factor rolling regression (even study) - Using SAS (or Stata)

Deadline: next 4-5 days Looking for help running a multi-factor regression analysis. The analysis will consist of an event study, to observe the price movements of the stocks around the time of their deletion from the S&P 500 Index. However, rather than using raw returns for abnormal returns, I will calculate the abnormal return for each security in the final deletions sample using a modified market model (to be provided) I will run a regression for each of the deleted securities using data for the observed dependent variables starting 253 days before the AD+1 through 253 days following that date. I will use AD+1 as the “event” date since deletions are usually occurring after market close making AD+1 the actual date where markets can react to the news. That is fine but it is more typical to just use AD as the event day. I decided to use 253 days since it is the average number of trading days in a year for the NYSE. I will also be observing the security’s behavior in the few days following the AD as well as the abnormal return during the month following AD (AD-30: AD+30). AD = Announcement day, as in the day where the deletion is announced. I have all the data but simply do not know how to program it considering that each stocks in the sample have different AD Ultimate goal is to obtain abnormal returns