EventusR performs event studies within the SAS environment using data read directly from the CRSP stock databases or pre-extracted from any source. It can also read raw returns, prices, bid and ask quotations, trading volume, number of trades and shares outstanding from the CRSP database. Eventus can print the raw data or store them in several disk file formats. The system includes utility programs to convert calendar dates to CRSP trading day numbers, convert CUSIP identifiers to CRSP permanent numbers, and extract event study cumulative or compounded abnormal returns for cross-sectional analysis.
Eventus provides user control over estimation periods and cumulative return windows, a choice of raw, comparison period mean adjusted, market adjusted, or market model abnormal returns. Simple statements allow the researcher to run a complete event study, from reading the CRSP stock database to printing results.
A copy of the Eventus User Guide as a pdf file can be viewed online or downloaded from www.eventstudy.com. This file can be viewed on your screen, but not printed. (You have to pay for a hard copy of the Guide.)
If you have Eventus on your PC, but you do not have a direct link to CRSP
data, you can run Eventus using data obtained from the WRDS system. (Note that although Eventus is listed as an
available service on WRDS,
EVENTUS is available at Computer Services in Englehardt