Hi all,

I am conducting an event study using Excel, analyzing how social media posts are affecting stock prices. Is it statistically allowed to have a different number of observations per event window?

E.g. to have in event window [0;1] 120 observations for which the abnormal returns are analyzed with the t-test; while having in event window [0;3] only 60 observations?

I controlled for confounding events - per respective event window. E.g. when earnings where released in t=2 I still used the observation in event window [0;1] but not in [0;3].

I wondering if its correct to then conclude e.g. that abnormal returns in [0;1] are significant, but not in [0;3].


Thank you so much!!!

PS: I followed McWilliams &Siegel (1997, S. 647) approach with the confounding events - but begin to think I did it wrong, because every other event study uses the same number of observations per event window...