Eventus performs an event study using stock prices from CRSP. This means you can only do an
event study for American companies. If you want to do an event study for non-American companies
you have to use the Event Study Tool
In this manual we will guide you through the steps you have to take in Eventus. However, it’s up to
you to make several choices. For example: how long is your estimation and event window, what
statistical tests do you want to use, which model? The EDSC can’t help you answering these
questions; you have to ask your supervisor or coach for help and check the academic literature – what
choices have previous researchers made?
Access to Eventus
Eventus is part of WRDS, to get access to WRDS you need to apply for a day-pass (valid for 14
days). Check this video if you need help to apply for a day-pass(right now still in Dutch, but you get
the idea…)
Within Eventus you can choose different types of event studies. If you are (only) interested in the
Cumulative Abnormal Returns, choose Cross Sectional Daily.
Step 1: Apply your company codes - What identifier and request file will you use? You can use
permno’s or cusips.
Request file - You have to upload a text file (.txt) consisting of 8-digit Cusips or PERMNO’s and the
event dates in the format yyyymmdd. Make sure you mark the identifier that’s in your text file.
For example:
Under Manuals and Overviews you find the Eventus Validation Tool: here you can upload your txtfile – the tool will convert the dates in the file into the required Eventus format.
Step 2: Which Indices and Benchmark options would you like? – Here you select the market index
and the benchmark type. Regarding the benchmark type the Market Model is selected by default. In
the Eventus User Guide you can find more information about the benchmark options in Appendix
A.1.
Step 3: Choose Estimation Options - The estimation period is the period before the event, used to
calculate the ‘normal’ return. Autodate is useful when you have event dates on non-trading dates: by
default NONE is marked. This means that event dates on which the market is closed (for example
weekends, holidays) are dropped from the analysis. When you select YES non-trading dates are
converted to the next trading day (Sunday is converted in Monday). When you select BACK nontrading dates are converted to the previous trading day (Sunday is converted into Friday).
Step 4: Choose windows to search. - The event period is the period around the event. When you
enter alternative windows abnormal returns will also be calculated for these windows. Make sure that
these alternative windows are within the Event period.
Submit query - Click Submit Query a new webpage will appear, which will be refreshed every 10
seconds, until your output appears.
The output
The output of this study is a SAS-file, but you can open it in SPSS as well (Choose in SPSS ‘Open an
existing data source’ and select behind Files of Type SAS). From SPSS you can export the file to
Excel.