Ri, j,t = αi,j + βi,j *[url=]Rm, j,t [/url][t1] + ei, j,t

where

Ri,j,t= daily return on the security i for year j over day t

αi,j, βi,j = the parameters of market model for security i foryear j, security-specific intercept and slope coefficients

Rm,j,t = return on the market (S&P 500 index) for year j over day t

ei,j,t = error term for security i for year j at period t. With theassumption of E (ei, j,t) =0 and var(ei, j,t )= σ 2ei, j,t

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[t1]Whatis the market portfolios’ stock price

ARi,j,t=ei, j,t= Ri, j,t - αi,j - βi,j*Rm, j,t

AAR t = whereAR i,j,t = abnormal return of security ifor year j over day tN t= number of securities with abnormal returns on day t


wheres(ei, j,t) = the standard deviation ofthe excess returns on day t in the event windowN t = number of securities with abnormalreturns on day t

怎么用E-VIEWS做这个T-test，那些数据是我需要放在变量里面的，我需要那些数据，我已经自己能把AR算出来了，但是不知道怎么跑回归