I do have a theoretical question about a difference-in-difference (DiD) model I constructed in Stata.
Construction: Over a monthly time span of 7 years I try to analyze the impact of investment-volume (IV) on the stock return of some companies (DV). Therefore, I use the Fama–French Five-Factor Model including the IV.
Now, I want to see if there is a difference between companies who have financial advisors compared with those who do not. Therefore, I added a dummy variable (=1 if they have a financial advisory and =0 if they do not) and created the treatment group. However, I am not sure if I understand the methodology behind my method. Do I compare them over the whole sample period which includes multiple time periods, not just two.
Therefore, my method does not observe outcomes for two groups for two time periods, whereby one group (i.e., treatment group) is affected by a treatment in the second period and the second group (i.e., control group) is not affected by the treatment at all.
Or did I misunderstand something?