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

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

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[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