Event study: How to calculate slope and intercept for a variable time series ?

[arnlalu]

Hi,

I need to calculate the INTERCEPT and SLOPE of following daily stock prices, but 60 days before the announcement days.Could you guys help me out here ? Its for my dissertation and Its the first time i have to work with that much data.

My data is organized like this
[TABLE="width: 495"]
<colgroup><col><col span="6"></colgroup><tbody>[TR]
[TD]60 days before[/TD]
[TD][/TD]
[TD="align: right"]25/05/07[/TD]
[TD]-[/TD]
[TD="align: right"]20/03/09[/TD]
[TD]-[/TD]
[TD="align: right"]23/11/03[/TD]
[/TR]
[TR]
[TD]Announced date[/TD]
[TD]BULGARIA SE SOFIX - PRICE INDEX[/TD]
[TD="align: right"]24/07/07[/TD]
[TD]BEL 20 - PRICE INDEX[/TD]
[TD="align: right"]19/05/09[/TD]
[TD]DAX 30 PERFORMANCE - PRICE INDEX[/TD]
[TD="align: right"]22/01/04[/TD]
[/TR]
[TR]
[TD][/TD]
[TD]BSSOFIX[/TD]
[TD]BL:ENM[/TD]
[TD]BGBEL20[/TD]
[TD]B:SOF[/TD]
[TD]DAXINDX[/TD]
[TD]D:MEO[/TD]
[/TR]
[TR]
[TD="align: right"]31/12/99[/TD]
[TD][/TD]
[TD][/TD]
[TD][/TD]
[TD][/TD]
[TD][/TD]
[TD][/TD]
[/TR]
[TR]
[TD="align: right"]3/01/00[/TD]
[TD]-[/TD]
[TD][/TD]
[TD="align: right"]-0,0088[/TD]
[TD][/TD]
[TD="align: right"]-0,0298[/TD]
[TD="align: right"]-0,04494[/TD]
[/TR]
[TR]
[TD="align: right"]4/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]-0,00385[/TD]
[TD="align: right"]-0,04193[/TD]
[TD="align: right"]0,026136[/TD]
[TD="align: right"]-0,02427[/TD]
[TD="align: right"]-0,03922[/TD]
[/TR]
[TR]
[TD="align: right"]5/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]0,005792[/TD]
[TD="align: right"]-0,03615[/TD]
[TD="align: right"]0,0236[/TD]
[TD="align: right"]-0,01289[/TD]
[TD="align: right"]0,02551[/TD]
[/TR]
[TR]
[TD="align: right"]6/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]0,023035[/TD]
[TD="align: right"]0,001164[/TD]
[TD="align: right"]0,026697[/TD]
[TD="align: right"]-0,00418[/TD]
[TD="align: right"]-0,01493[/TD]
[/TR]
[TR]
[TD="align: right"]7/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]0,005629[/TD]
[TD="align: right"]0,025305[/TD]
[TD="align: right"]-0,01833[/TD]
[TD="align: right"]0,047265[/TD]
[TD="align: right"]0,00202[/TD]
[/TR]
[TR]
[TD="align: right"]10/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]0,014933[/TD]
[TD="align: right"]0,020774[/TD]
[TD="align: right"]0,002408[/TD]
[TD="align: right"]0,021319[/TD]
[TD="align: right"]0,002016[/TD]
[/TR]
[TR]
[TD="align: right"]11/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]-0,01103[/TD]
[TD="align: right"]-0,01712[/TD]
[TD="align: right"]-0,02822[/TD]
[TD="align: right"]-0,00495[/TD]
[TD="align: right"]-0,01811[/TD]
[/TR]
[TR]
[TD="align: right"]12/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]-0,02045[/TD]
[TD="align: right"]-0,01227[/TD]
[TD="align: right"]0,029039[/TD]
[TD="align: right"]0,003129[/TD]
[TD="align: right"]-0,01844[/TD]
[/TR]
[TR]
[TD="align: right"]13/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]0,00191[/TD]
[TD="align: right"]0,007501[/TD]
[TD="align: right"]0,017423[/TD]
[TD="align: right"]0,006245[/TD]
[TD="align: right"]-0,03549[/TD]
[/TR]
[TR]
[TD="align: right"]14/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]0,008524[/TD]
[TD="align: right"]-0,00162[/TD]
[TD="align: right"]0,014166[/TD]
[TD="align: right"]0,031231[/TD]
[TD="align: right"]-0,02814[/TD]
[/TR]
[TR]
[TD="align: right"]17/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]-0,01598[/TD]
[TD="align: right"]-0,01736[/TD]
[TD="align: right"]-0,00407[/TD]
[TD="align: right"]0,011944[/TD]
[TD="align: right"]-0,05011[/TD]
[/TR]
[TR]
[TD="align: right"]18/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]-0,0353[/TD]
[TD="align: right"]-0,03321[/TD]
[TD="align: right"]-0,01719[/TD]
[TD="align: right"]-0,02573[/TD]
[TD="align: right"]-0,0211[/TD]
[/TR]
[TR]
[TD="align: right"]19/01/00[/TD]
[TD]-[/TD]
[TD="align: right"]-0,0188[/TD]
[TD="align: right"]0,001827[/TD]
[TD="align: right"]-0,00167[/TD]
[TD="align: right"]0,002675[/TD]
[TD="align: right"]-0,00838[/TD]
[/TR]
</tbody>[/TABLE]

 

[arnlalu]

Allow me to elaborate , If for example the announcement date is 05.05.04, i need to be able to calculate the slope from (-240,-60) days before the announcement day. But since the announcement date is different for every stock and I have over 300 different deals its impossible to do it manuall