美国普林斯顿大学的事件研究法分步骤介绍，用的是stata，有代码，（利用sas的应该也有，给我可以在这个网页里面找找）
网址为：http://dss.princeton.edu/usingda ... entstudy.html#clean

上述链接转载自博客：http://blog.cnfol.com/arlion/article/1606681.html

Event Studies with Stata

An event study is used to examine reactions of the market to events of interest. A simple event study involves the following steps:
Cleaning the Data and Calculating the Event Window
Estimating Normal Performance
Calculating Abnormal and Cumulative Abnormal Returns
Testing for Significance
Testing Across All Events

This document is designed to help you conduct event studies using Stata. We assume that you already have data with a date variable, which we call "date", and a company identifier, which we have called "company_id". If you need to prepare your data or want to try out the commands with our sample data, go to data preparation page.

We also assume that you have a basic familiarity with Stata. If you need assistance with Stata commands, you can find out more about it here. Your task will be much easier if you enter the commands in a do file, which is a text file containing a list of Stata commands.