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
Hall,