Eventus (WRDS)

  • Description: Eventus software is accessible thorough WRDS and performs event studies that compute abnormal returns for specific corporate actions using data read directly from CRSP stock databases. Its system includes utility programs to convert calendar dates to CRSP trading day numbers, to convert CUSIP identifiers to CRSP permanent identification numbers, and to extract event study cumulative or compounded abnormal returns for cross-sectional analysis.
    WRDS has created several Eventus web queries that allow the user to execute different Eventus programs.
    Below is a short description of the web queries that are available:
    - Basic Event Study executes an event study with daily or monthly data
    - Eventus Alternative runs an event study using the "Calendar-time Portfolio" or the "Ibbotson Rats"
    - Output for Cross-sectional Analysis produces a SAS dataset containing the cumulative abnormal return for each firm
    - Event Parameter Approach performs a joint estimation of the parameters
    and the abnormal returns.
  • Availability: Statistical data