Interpretation of Results
Compatibility with Other Vendors
Q: We installed Eventus for Windows, but when we try to run a test program, theEventus; statement and each subsequent statement is flagged with the message
ERROR 180-322 Statement is not valid or is used out of proper order.
Whats going on?
Solution: The most common cause is installing Eventus in one user account (such as an administrator account used only for installing software), then trying to use it from another without following the additional steps advised by the setup program.
To make Eventus available to another user on the same computer, you may want to re-install Eventus in the account in which it will be used. (This advice is displayed at the beginning of the setup program). This is desirable because the user will then be able to check for and install hotfixes without switching accounts and manually copying files. If you are installing for multiple users or if the end user's account is not allowed to install software, please try the following instructions.
close SAS and copy the
following files from the first user's My SAS Files
folder (typically something like Documents\My SAS Files\9.2) to the next user's My SAS Files folder:
A second possible explanation is that the SAS 9.2 (or 9.1) configuration file arrangement was changed after SAS was first installed on the PC. To investigate this possibility, close SAS and use Notepad to check all files SASV9.CFG on your computer (it may be helpful to use the newest version of Windows Search or a third party desktop search tool to find all the files with this name and type). If you are running 64-bit Windows, 64-bit SAS and Eventus 9, please contact us through http://support.sas.com. Eventus versions before 9.0 are not compatible with 64-bit SAS. If you are running 32-bit SAS in 64-bit Windows, the instructions below still apply.
Typically there are two
copies of SASV9.CFG, in C:\Program Files\SAS\SAS 9.2\ and
C:\Program Files\SAS\SAS 9.2\nls\en. If you use a non-English version of SAS, en may be replaced by another
two-letter language code. Also, 9.2 may be replaced by 9.1, and (x86) may appear
after Program Files. One of the SASV9.CFG files contains over 200 lines including the
A third possibility is that the user's Documents or My Documents folder has moved since Eventus was installed. The simplest solution in this case typically would be to re-install Eventus.
A fourth potential cause is that the user's Documents or My Documents folder has moved since SAS was installed. In this case, check SAS documentation or http://support.sas.com about how to move the SASUSER (My SAS Files) folder. Try to avoid having multiple folders named My SAS Files under (or usable by) one user account even if most are empty. You probably will need to re-install Eventus after taking care of this issue.
A fifth, quite uncommon situation is where a laptop has My Documents defined one way when the laptop is docked or attached to a network and another way at other times. SAS by default defines the My SAS Files folder as being under Documents or My Documents, so the My SAS Files location is automatically redefined -- but the contents not automatically copied from the original location -- if the documents folder is changed. If this situation applies, close SAS and copy the files listed above for the multiple user account situation, from the My SAS Files folder in which they currently appear, to the My SAS Files folder under the new or undocked My SAS Files. You will need to repeat this step every time you install an Eventus update.
Q: How can I use a control-firm approach, where each sample firm is pre-matched to a similar firm?
Solution: The control-firm approach as it commonly appears in the literature can be implemented using the SHORT and GROUP options on the REQUEST statement. Include the PERMNOs (or whatever security identifier is being used) for both the sample and control firms in the same request file. Include a grouping variable which has a unique value for each sample firm; each control firm should receive the same grouping variable value as its matched sample firm. See the documentation for the REQUEST statement option GROUP for details. Also include a short-long indicator, 'S' for control firms and 'L' for sample firms. See the documentation of the REQUEST statement option SHORT for details. The simple paired difference test frequently used with the control-firm approach can be invoked with the EvtStudy statement option CSECTERR. To suppress benchmark models, include the EvtStudy statement options RAW NOMM NOMAR. An estimation period still must be defined, but may be forced to overlap the event period using the EvtStudy statement option OVERLAP and appropriate specifications of the REQUEST statement options ESTand ESTLEN.
Q: Could you explain further how the data statement index options needed for SASNONCRSP work?
Solution: Indexing allows a SAS data set to be used (by Eventus in this case) as if the data set were sorted by the index variable or variables. In Eventus 9, you no longer need to index the mini-database component data sets; Eventus builds the indexes for you automatically.
Q: Could you explain how to index the portfolio assignment data set for the companion portfolio method?
Solution: In the code below, replace mydataset by
the name of the data to which the PORT1DS option will point. If you are
preparing the data set for a SASNONCRSP run, also change permno to the variable
name of your security identifier.
Q: I want to run separate event studies on three different events using the same sample of firms (three events per firm, with a different event date for each firm). I want the estimation period to end 31 days before the first event date. I read about theest=specific option in the User's Guide. But exactly how do I use it, and how can I find out the estimation period ending date for the first event?
Solution: Run Eventus statements like the following.
* Convert calendar event date to CRSP trading day number;
* Move date back 31 trading days;
DateConv insas=work.temp1 datefmt=crsp shift1=-31 outsas=work.temp2;
* Combine shifted and original dates into a new request file in SAS data set form;
merge temp1 temp2(rename=(eventdat=estend));
* Print the request file for visual inspection;
proc print data=request_event1;
format eventdat estend yymmddn8.;
* Use the new request file to run the first event study;
Request insas=work.request_event1 est=specific;
* Set up the request file for the second event study;
filename request 'C:\My Request Files\File Name 2.txt';
merge temp3 temp2(rename=(eventdat=estend));
* Run the second event study;
Request insas=work.request_event2 est=specific;
Further event studies can be run using the same estimation period for each firm as in the first event study using a request file setup process similar to that shown for the second event study above.
Any shift is calculated in terms of the input date units. When datefmt=crsp appears on the DateConv or Request statement, any shift1 or shift2 option on the same statement produces a shift of the specified number of trading days. Without datefmt=crsp, the shift is performed for the specified number of calendar days.
If you have options on the event study Request statement that further describe the request file contents, such as ID=... or CUSIPERM, the same options can be used on DateConv too. If using CUSIPERM or if there is more than one event with the same PERMNO, the use of ID=, and merging by the specified identifying variable instead of PERMNO, are recommended
Item revised 11 February 2004.
Q: Is there a way to set up the estimation period, for an event study around one event , relative to the date of a second event?
Solution: Yes. The Eventus statements below demonstrate how to set up the estimation period for a security offer registration as days +31,+150 relative to the actual offering date.
The request file contains the following lines, where the four fields are CUSIP, registration date, offering date and user-defined event ID number:
* Use the TWIN option and Dateconv statement to convert both dates
(registration and offering) to CRSP trading day numbers;
DateConv cusiperm outsas=work.temp1 id=id;
* Use the TWIN option and Dateconv statement to read both dates and shift the second 150 trading days into the future, to create an estimation-period ending date of offering date+150;
DateConv insas=work.temp1 datefmt=crsp shift2=+150 outsas=work.request id=id;
* Rename the
CRSP-date variables to the required column names for a single
event date and specific estimation period ending date;
Run the event study, using datefmt=crsp to use crspday as the event date, est=specific
to use crspest as the last trading day of the estimation period (both specified
as CRSP dates) and estlen=120 to specify a 120 trading day long estimation
title 'Registration Date -- Estimation Period is Offering Date(+31,+150)
Request insas=work.request datefmt=crsp est=specific estlen=120 id=id;
Item created 11 February 2004.
Q: Is it possible to get returns for a market index alone? My study does not individual stocks.
Solution: In Eventus 9, you do this with the new IndexData statement as show in the example below. In Eventus 8 and earlier, you have to select a stock that traded for the period over which you want index data, and use the Returns statement with the Index option to get stock and index returns.
Q: I want to use the returns statement to extract, from the CRSP daily stock database, the return 31 trading days before a date that varies from firm to firm. I have the dates in an ascii text request file namedc:\myproject\request.dat, where each line contains the PERMNO and calendar date for one firm (for example, 12345 19980701). If I use the shift1=-31 option on the Request statement, I get the return 31 calendar days before the given date, as the User's Guide states. But I need to shift back an exact number of trading days, not calendar days. How can I do this?
Solution: Run Eventus statements like the following. The statements first produce a SAS data set format request file containing the specified event date in CRSP trading day number format, which is then used with the the shift1=-31 option on the Request statement to move back 31 trading days.
Q: Where can I obtain Fama-French factor data for event study purposes?
Solution: Eventus for WRDS users can access the factor data, maintained by WRDS staff, through the SAS library name FF. Eventus 8.0 and greater for Windows users, please go to the Windows Start Menu folder for Eventus and select Fama-French Factor Installer, which downloads the factor data from Professor Ken French's web site and installs it in the SAS data set format expected by Eventus software. If your organization is an annual subscriber to Eventus and you have trouble obtaining the factors by the above methods or use Eventus for Solaris or Linux on your own organization's system, please our data sets page for other options.
Q: How can I get Eventus software to put the stock return variance in a SAS data set? I am not interested in event study results, just the return variance.
Solution: The following program creates a temporary SAS data set,work.volatile, that contains the variable OWNVAR, the variance of raw stock returns. It is assumed that the request file (read by the Request statement) contains the PERMNO of each stock and a stock-specific date that marks the end of the 253-day period for which you want the variance, and your own four-digit identifying number that you call "Item" for your security-events.
Q: How can I get the standard error of market model alpha and beta (as regression coefficients) from the estimation period for each security-event in an event study?
Solution: Eventus 9 automatically includes them in the output data set
created by the OutParam= option of the EvtStudy statement. (Some combinations of
other options that change the type of event study might prevent this, however.)
For Eventus 8 users, the following program illustrates the
addition of the OutSAS option to the
EvtStudy statement to put the parameter estimates that are available
Q. The weights produced by the OutWin or FileWin option of the EvtStudy statement, or by the Extract statement, look strange. How can I make sense out of them?
Solution: The weights created by OutWin, FileWin and Extract are designed to meet the requirements of the WEIGHT statement in SAS regression procedure PROC REG, to simplify weighted least squares (WLS) cross-sectional regressions. The weights are designed to make the WLS estimation conform to the same assumptions about the variance as are used in the development of the Patell and Standardized Cross-Sectional tests. The weights may seem strangely proportioned because a) they are not intended to be portfolio weights, and do not sum to 1; and b) they are reciprocals of variance, not standard deviation, because that is appropriate for the way that PROC REG works, given the desired variance assumptions.
Nevertheless, the weighting scheme is consistent with portfolio weights based on
the reciprocals of standard deviations. The following experiment demonstrates that this is
so. When the SERIAL and STDCSECT options are not specified on the
EvtStudy statement, the precision-weighted
cumulative average abnormal return printed in the default event study output is equivalent
to taking a weighted-average CAR using the square roots of the OutWin, FileWin or Extract weights. Run an event study using the OutWin=work.demo
option, but not the SERIAL and STDCSECT options. Then run the following statements:
Q. When I run Eventus using the GETDATA option on EVENTUS statement, the SIZEINDX option on the REQUEST statement, and the option BOTH on the RETURNS statement, I get two sets of index returns, labeled EQUAL and VALUE. Do I assume that these are the value-weighted and equal-weighted indices for the size-decile index?
Solution: No. Keep in mind that Eventus itself does not calculate the index returns, it just reads them from the CRSPINDX and SIZEINDX files. The returns in the SIZEINDX file are whatever they are, equal- or value-weighted. Traditionally the CRSP indices/decile product included only equal-weight size decile portfolios, and that is also what the size-index maker included in the Eventus installation kit produces.
When using SIZEINDX on the REQUEST statement with the statement RETURNS INDEX BOTH; the
Q: Is Eventus® software compatible with the current CRSP U.S. stock database?
Answer: Eventus 9 can directly read any recent release of the CRSP U.S. Stock Database if installed, from the DVD provided by CRSP, on the same computer as Eventus or accessible on a local network drive.
Q: CRSP was recently updated on our local network, but unless I use the dbfnstmt option of the Eventus statement, Eventus for Windows still uses the previous version of the CRSP data.
Answer: Except when the dbfnstmt option is present, Eventus uses the Windows environment variables CRSP_DSTK and CRSP_MSTK to locate the CRSP daily and monthly databases respectively. The dbfnstmt option bypasses the environment variables. When a CRSP update is installed, the environment variables are updated automatically on the PC or server on which the update is performed. Individual PCs accessing CRSP on a network drive need to have their environment variables updated manually. The environment variables are simple text strings containing the folder locations of the daily and monthly databases. Here is how to get to a screen where you can enter the new folder locations. If you have a Windows Start menu folder named CRSPAccess, try CRSP Client Environment. Otherwise, open My Computer using the corresponding desktop or Start menu icon, click on View System Information, go to the Advanced tab, and click the Environment Variables button. These steps are for XP; Vista may be a little different.
Q: Can Eventus® software use Datastream data?
Answer: Yes, users have two options for doing this. One is to manually download the needed Datastream data and format it according to Eventus requirements for non-CRSP event studies, as described in the User's Guide. Another option is to use our EventStream software in conjunction with Eventus.
Q: With which versions of SAS does Eventus software work?
Answer: Copies of Eventus 9 now being delivered are compatible with SAS 9.3, 64-bit and 32-bit. Copies of Eventus 9 for Windows delivered before November 2011 are not fully compatible with SAS 9.3; annual subscribers may request an update to support SAS 9.3 at no charge through http://support.eventstudy.com. Eventus for WRDS may be run by remote access from any version of SAS for Windows; SAS 9.2 or greater is recommended for the fullest function of the rsubmit statement in SAS.
FAQ last updated 02 September 2012. Not every item is reviewed at each update. Please register with support.eventstudy.com to view other valuable information that we post in the forums there.