Dear Awais

Usually, you should be able to run your event study with the missing values.

Alternatively, you can either:

1) Replace the missing stock values with the median (or mean) values of the total stock values in the distribution.

2) Or, you can decide to exclude stocks that do not have complete stock data and such adjustments should be made for both the pre-announcement and post-announcement period while noting that you need to have equal event window in the pre-M&A announcement and post-M&A announcement period.

Hope this helps!

Regards

Peterson

Dear M Awais,

I would like to recommend you to exclude the case to maintain the value/originality of the dataset.

Alternatively, You may also include them as recommended by Peterson.

Tq

ZMS

If you are not already using Datastream database, I would recommend that you use it since it contains most relevant stock data. In cases where there are a lot of missing values, it is advisable that you use the Mean values since excluding such stock might lower your sample to a point which you may not like.