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Eventus  FAQ: Capabilities

Long-Run Event Studies

Q: Does Eventus include features for long-horizon event studies?

Answer: Yes, Eventus 8 offers buy-and-hold returns, a skewness-adjusted test, calendar-time portfolio regressions, the Regression Across Time and Securities approach inspired by Ibbotson (IRATS), a cross-sectional test, bootstrapped versions of the skewness-adjusted and several other tests. The Fama-French three-factor model, Fama-French-momentum four-factor model, and user-designed custom-factor models can be used with IRATS, calendar-time portfolio regressions and traditional two-step estimation and testing.

Control-Firm Approach

Q: Can I employ a control-firm approach in Eventus?

Answer: Yes, one way is to use the GROUP and SHORT options on the REQUEST statement. Another way is to use the new companion portfolio facility in Eventus 8 if the sample size is 400 or fewer. With a control-firm approach, each "companion portfolio" would contain one security.

CUSIP to CRSP PERMNO Conversion

Q: The CUSIPs that I have are as of the event date (events occur over many years). Given that the CUSIPs of some firms have changed over time, will the CUSIPERM option give me the correct PERMNO?

Answer: Yes, the design of CUSIPERM takes into account the fact that CUSIPs change over time. The PermnoUp program, which is run at Eventus installation and CRSP update installation, builds a conversion database by searching through the CRSP history of CUSIPs for each PERMNO. There should be no danger of obtaining an incorrect PERMNO for a given CUSIP. As the CRSP Data Description Guide states, "No header or historical CUSIPs are reused on our files." Thus, each CUSIP is associated with a unique PERMNO.

You may find that CUSIPERM fails to come up with any PERMNO in a few cases. There are two possible reasons for this. First, another database, from which the researcher obtained the CUSIP, may list the firm under a different CUSIP than CRSP does. This happens nontrivially often with a well-known financial statement database. In this case, one can manually search for the correct PERMNO

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This FAQ page last updated 14 February 2006.

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