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Eventus® Event and Estimation Periods

Benchmark Parameter Estimation Period

  • Default is days –300 through –46 (before the event date.)
  • User can increase or decrease the length of the estimation period and change the timing of the estimation period relative to the event.
  • Allows the estimation period to be before or after the event date, or both pooled.
  • Option to specify different timing of the estimation period for each firm.

Event Period

  • Default is to report each day from –45 through +45 and windows (–1,0), (–45,–2) and (+1,+45).
  • For monthly returns, reports –12 through +12.
  • In addition to individual days, months, etc., user can specify up to 200 windows in notation like "(–3,0)".
  • Mean, test statistic, number positive and negative and nonparametric test result printed for each day or month.
  • Mean, test statistic, number positive and negative and nonparametric test result printed for each user-specified or default window.
  • User can change days (months) before and after event date (minimum 0 each, maximum 9743 combined.)
  • Option to specify begin and end dates for each firm to produce variable-length event periods.

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