/* Eventus8LongHorizonEventStudy3.sas                                                            */
/* Illustrates the following features:                                                           */
/*                                                                                               */
/* SAS libname statement to associate library name evdata with a folder on the system; edit the  */
/*   quoted string to point to the folder or directory containing your installed copy of the     */
/*   Fama-French-momentum factor data set in the format expected by Eventus.                     */
/*   Eventus 8 for Windows users: Use the Fama-French Factor Installer from the Windows Start    */
/*    menu folder for Eventus to build the factors data set.                                     */
/*   WRDS users: omit the libname statement and change Evdata to FF in the Eventus statement.    */
/*                                                                                               */
/* FFF= specification to point to the Fama-French factors data set                               */
/* CusiPerm option to select stocks by CUSIP in the input request file                           */
/* Shift1=+1 options makes new day zero old day plus one, new day plus one old day plus two, etc.*/
/* Pre= and Post= options to establish the event period. (In trading days where daily data used.)*/
/*     Because of the Shift1 option, this example runs months +1 through +24 relative to the     */
/*     month of the request file date, labeled as 0 through +23.                                 */
/* ValueWeightSample option weights each security-event in proportion to the security's market   */
/*     capitalization as of the month (or day in a daily event study) before the event period,   */
/*     month minus one (original month zero) in this example.                                    */
/* FamaFrench Momentum option (without the TwoStep option present) runs a calendar-time          */
/*     portfolio regression using the Fama-French plus momentum four-factor model.               */
/*                                                                                               */
/* Before running this, first run Eventus8SEORequestFile.sas                                     */
/*                                                                                               */
/* Sample output is available in Eventus8LongHorizonEventStudy3.lst.                             */

libname evdata 'C:\Documents and Settings\User\My Documents\Eventus\Datasets';
Eventus Monthly FFF=Evdata.Factors;
 title 'Seasoned Equity Offerings: Offer Date';
 title2 'A Biased and Haphazard Sample for Demonstration Purposes Only';
 Request insas=work.SEO_Offer_Request CusiPerm Shift1=+1;
 EvtStudy Pre=0 Post=23 ValueWeightSample FamaFrench Momentum;