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Eventus® Residual Return Features

  • Choice of market model, market adjusted, mean adjusted, or raw returns in event studies.
  • Allows all the above benchmarks in the same event study run for comparison.
  • New in version 7! Fama-French factor support. (Uses calendar-time and Ibbotson RATS methods).
    Can use the event parameter model approach with
    OLS, SUR (JGLS) or iterated SUR estimation.
  • The user can customize the return-generating model by including additional factors in the event parameter approach.
  • Supports optional Scholes-Williams, GARCH or EGARCH market model estimation.
  • Supports size-decile-matched return benchmarks as an option for all CRSP stock file users
  • Supports beta-decile-matched benchmarks as an option for CRSP's add-on Indices/Portfolio Assignments product (replaces the old CRSP Excess Returns file).
  • Option to convert returns to continuously compounded before calculation of abnormal returns.

More about Market Index Choices

  • Directly accesses the basic stock indices from the user's copy of the CRSP stock files: equal- or value-weighted CRSP index with or without dividends, Standard & Poor's 500.
  • Optional size or beta decile returns with the optional CRSP Indices/Portfolio Assignments files.
  • The installation kit includes software that generates size-decile portfolio returns using the portfolio numbers in the annual-data fields of the CRSP stock file. The resulting file can be used by customers that do not subscribe to the separate CRSP Indices/Portfolio Assignments product.
  • User can specify a linear model with up to nine factors in the event parameter approach using OLS, SUR or iterated SUR.
  • Allows two index choices per event study run for comparative results (except with the event parameter method.)

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