Event Study of Elon Musk Selling Tesla Shares of Stock
Channel: Jonathan Kalodimos, PhD
Date: 2023-05-08

This is a step-by-step walk-through video of how to do an event study using CAPM in Excel. The event I use to demonstrate how to do an event study is Elon Musk selling some of his shares of Tesla. This is a link that describes the event: https://www.npr.org/2021/11/08/1053511530/elon-musk-twitter-poll-tesla

The main point of this exercise is to demonstrate how to do the event study. The steps include:
1) identify the event date that Elon Musk committed to selling shares
2) create event time
3) estimate CAPM beta in Excel using a regression
4) calculate abnormal returns
5) calculate cumulative abnormal returns
6) plot cumulative abnormal returns in Excel

Here is a link to the Fama-French data (use "Fama/French 3 Factors [Daily]") http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#research 

Stock prices can be downloaded at the link below, but you'll have to calculate returns yourself https://finance.yahoo.com/quote/TSLA/history?p=TSLA