Event study model

Hello everyone,

I am currently writing my Master's Thesis Finance on stock analyst recommendations. For my research I use event studies. The problem however is that my sample size is close to 11000 recommendations. I want to investigate whether these (changing) recommendations trigger abnormal returns. In order to do this I need to calculate the alpha, beta, and sigma (in order to calculate the expected return) and thus I have to conduct 11000 separate or individual event studies on each recommendation, something I deem impossible. Currently my file consists of all the relevant stocks' and benchmark indices closing prices and their returns. What I want to create is a model/function in which I provide the event date and the model produces the dates and returns starting from the estimation period ( 250 days before the given date) and ending ten days after the event date. Unfortunately, so far I haven't really succeeded in building such a model. Is there anybody who can help me out? I hope the explanation is clear, if not do not hesitate to ask me. I would really appreciate your help and thoughts!

Thanks in advance!

Could you send an actual sample of your data?

Of course! I've attached a small sample of my workfile.