WRDS - Wharton Research Data Services

Description

Eventus performs event studies using data read directly from CRSP stock databases or pre-extracted from any source. The Eventus system includes utility programs to convert calendar dates to CRSP trading day numbers, convert CUSIP identifiers to CRSP permanent identification 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 print results, with a program as short of as four lines.

WRDS has created several Eventus web queries that allow the user to execute different Eventus programs without the need of knowing the details about Eventus syntax. Below is a short description of the web queries that are available:

Basic Event Study includes four of the most common event Studies:

  • Basic Event Study (Daily and Monthly) executes an event study with daily or monthly data centered on a single date for each firm. It is the most common and simple event study.
  • Fama French Basic (Daily and Monthly) executes an event study that uses the Fama French factors as benchmark.

Eventus Alternative runs an event study using either the "Calendar-time Portfolio" or the "Ibbotson Rats" Approach both for the market model and the Fama-French Approach.

Output for Cross-sectional Analysis web query produces a SAS dataset containing the cumulative abnormal return for each firm and specified window for further cross-sectional analysis.

Event Parameter Approach web query performs a joint estimation of the parameters and the abnormal returns.

WRDS is currently running Eventus version 9.0

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For more about this dataset, see the Dataset List.

 

Follow this link to see a WRDS Demo.

Additional resources are available from any WRDS web page by clicking on the "support" tab located at the top of your screen. You will find several listings including:

  • WRDS FAQ: This resource contains the most detailed information on using WRDS, including a system overview, data content and access, and extensive help on using SAS and FORTAN programs to extract data.
  • SAS FAQ: This is an excellent resource for users just getting started with SAS.
  • Online Manuals: All electronic manuals published by vendor providers (i.e. CRSP) are available under this link.
  • Downloads: TCP script for connecting to WRDS via SAS/CONNECT
  • Restore Request: Electronic form to be submitted in the event output is lost.
To view a brief tutorial on this database, please see the E-Learning video: Overview of Eventus.