I am conducting an event-study using the eventstudy2 Stata command. I have issues calculating the Abnormal Returns for day 1 in my event window (eventstudy2 outputs Zero, see below). This is because my event day is April, 30th, 2009. Day 1 is therefore May 1st (Labour Day), a day without stock return observations. In fact, May 1st is not even part of my return dataset. I would like to shift day 1 in the event window to the next trading day (in this case May, 4th, 2009) so that Abnormal returns can be calculated for the whole event window. Is there a workaround here? I only came across the option of shifting the event day itself via the eventstudy2 parameter shift.

eventstudy2 security_id Date using security_return, returns(return) model(FM) marketfile(Fac_returns) marketreturns(MktRF) evwlb(-1) evwub(1) eswlb(-150) delweekend eswub(-10) aarfile(aar_CAPM) carfile(car_CAPM)  datelinethreshold(0.2) arfile(ar_CAPM) crossfile(cross_CAPM) graphfile(ar_graph) shift(5) diagnosticsfile(diagnostics_CAPM) replace

[output of the command above][1] [1]: https://i.stack.imgur.com/tbO3B.png