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Features in Eventus
Please see our
22 page summary of new and
new in Eventus
8.0 (and still in Eventus 9.0)
- Fama-French three-factor model can be used as a general stock-by-stock
benchmark model, not just with calendar-time portfolio regression and Ibbotson
RATS approaches, using the FAMAFRENCH TWOSTEP option combination on the
- The momentum factor
suggested by Carhart (1997) can be added to the Fama-French three-factor model
using the MOMENTUM option (in addition to the FAMAFRENCH option, and other
desired options such as TWOSTEP or IRATS) on the Evtstudy statement.
- Event studies can use an
arbitrary number of user-supplied factors in a linear model framework similar
to the traditional market model (not just in the event
parameter approach as in previous versions) in a simple, straightforward way.
CRSP-based event studies do not need to be ported to a non-CRSP mode to make
use of user-supplied factors.
- Event studies can
incorporate user-supplied “companion portfolios,” or characteristic-dependent
indexes in lieu of a market-wide index,
in a simple, straightforward way. CRSP-based event
studies do not need to be ported to a non-CRSP mode to make use of companion
- Event studies using CRSP
can incorporate a user-supplied, non-CRSP market index without the
inconvenience of moving the whole study to SASNONCRSP mode. This new feature
supports a single market-wide index; also please see our new companion
portfolio facility above. The user-supplied index takes the place of the CRSP
- The Evtstudy statement can
output “window” cumulative or compounded abnormal returns directly to a SAS
data set or ASCII file, avoiding the need to run the separate Extract
- Time-series graphs of
return, abnormal return, cumulative and compounded return, cumulative and
compounded abnormal return are now available using the PLOT option on the
- When the OUTWIN= option is
specified on the Evtstudy statement, and the Patell (default), Standardized
Cross-Sectional, EGLS or Collins-Dent test is used in the event study, the
output data set will include WLS weights and standardized CARs by default. One
can still use WPREFIX= to specify a variable name prefix for the weights, but
it is no longer necessary; the default prefix is CARWeight. The prefix for the
standardized CARs is SCAR. To suppress weights and standardized CARs when
using OUTWIN= with eligible tests, specify WEIGHTS=0 on the Evtstudy
- New features are available
for the Extract statement, which is no longer needed but still available for
compatibility with earlier versions. (Extract’s functionality is now available
through the new OUTWIN= and FILEWIN= options of the Evtstudy statement.) The
old syntax still works, or specify Evtstudy statement-like options to select
benchmarks, e.g., Raw, CP, MAR, MM, FF or FFM. More than one at a time may be
specified. The BOTH, VALUE or EQUAL options may be used, when applicable, to
select between results using value-weighted and equal-weighted indexes.
When the OUTSAS= option is specified and the Patell (default),
Standardized Cross-Sectional, EGLS or Collins-Dent test was used in the
original event study, specifying the WEIGHTS option on the Extract statement
will add WLS weights and standardized CARs to the output data set. One can
still use WPREFIX= as in earlier versions to select weights and specify a
variable name prefix, but it is no longer necessary; if WEIGHTS is specified,
the default prefix is CARWeight. The prefix for the standardized CARs is SCAR.
- When the Request statement
option CUSIPERM is specified, most listing output and output data sets now
include the original CUSIP from the request file. In data sets, the variable
name is Request_File_CUSIP.
- Trading-cost adjustment
using Nasdaq bid and ask data, introduced in Eventus 7.0, now can be reversed
(establish position at bid, liquidate at ask), or made conditional in
conjunction with the SHORT option (open long positions at the ask, open short
positions at the bid). The TRADINGCOST option of the Evtstudy statement,
introduced in Eventus 7.0, now accepts the arguments =REVERSE and =LONGSHORT
to implement the above functions.
- The RUNNING option
introduced in Eventus 7.0 now creates running compounded abnormal returns when
the BUYHOLD option is in effect. Previously running cumulative abnormal
returns were created regardless of BUYHOLD.
- The SIZEINDX=OWNSYSTEM,
BETAINDEX=OWNSYSTEM and STDINDEX=OWNSYSTEM options select size decile, beta
decile and standard deviation decile portfolios, respectively, as market index
replacements. NYSE-AMEX decile portfolios are selected used for NYSE and AMEX
stocks and Nasdaq portfolios for Nasdaq stocks. For SIZEINDX, the OWNSYTEM
differs from OWNMARKET in that the latter selects NYSE decile portfolios for
NYSE stocks and AMEX decile portfolios for AMEX stocks.
- Eventus internally checks
SASNONCRSP mini-database data sets and stops and prints a log message if the
data sets do not meet requirements.
- SASNONCRSP mini-database
data sets no longer need to be indexed before use with Eventus. Eventus will
index the data sets if necessary.
- The SASNONCRSP
mini-database header data set (HEADDS= specification) is no longer needed.
Eventus internally creates a temporary header data set.
- The ESTINTER option, which
allows different data frequencies to be used for the estimation period and
event period, now is allowed in more situations than before. The FFF_EST=
option, which works like the FFF= option, has been introduced to specify Fama-French
factor input data for the estimation period frequency.
the event date from the request file is altered by an AUTODATE, SHIFT1 or
SHIFT2 option, or by a non-daily data frequency option such as MONTHLY, the
original event date is stored under the variable name Original_name
where name is the corresponding event date variable Eventdat, Eventda1,
Eventda2, CRSPday, CRSPday1 or CRSPday2 as documented in the User’s Guide.
the user specifies a SIZEINDX, BETAINDEX or STDINDEX option in an event study,
the capitalization decile or risk decile number appears in the parameter
estimates section of the printed output (unless PAGE=TALL is specified, or the
parameter estimates section is suppressed with the NOPLIST option or NOPRINT
the user specifies a SIZEINDX, BETAINDEX or STDINDEX option in a Returns
statement run with the VSAS option, the capitalization decile number or risk
decile number appears in the output SAS data set under the variable (column)
__CAP__. (This has been done for event studies since several releases
ago, but is new for the Returns statement output.)
new PVALUE option of the EVTSTUDY statement prints
numeric p-values instead of significance symbols.
STACK option of the EVTSTUDY statement has been completely redesigned and now
prints medians below means and numeric p-values below test statistics. It is
no longer considered experimental.
event study output now flags the positive:negative abnormal return count with
symbols like <<< and >>> to indicate the significance and direction of the
generalized sign test. This was a feature of Eventus 6.x output that
many users requested be brought back.
option NONAMES is now available on the PRICES, RETURNS and VOLUME statements.
It has the same effect as the longstanding EVTSTUDY statement option of the
same name: it suppresses the listing of names and data availability that
appears by default in the Output window or .lst file. This can be useful for
large data extractions.
variable _WEIGHT_ in output data sets has been changed from five characters to
14 characters and now provides a more specific description of non-default
indices or decile portfolios.
WINDOWS statement is not sensitive to spacing (except in
TWIN event studies). As long as the word
windows is followed
by at least one blank, zero or more blanks may appear inside and between
date labels (“descriptors”) for TWIN event studies can be up to 64 characters
(letters, number, underscores) each.
In monthly event
studies with CRSP data, calendar event dates in a SAS data set request file
can be any day of the month. Previously, calendar dates in a text request file
could be any day but a SAS data set request file for monthly runs had to
contain first-of-month dates.
- The comparison-period mean
and raw returns benchmarks, selected by the Evtstudy statement options CP and
RAW, now are available when the VALUE option also is in effect. Previously the
CP and RAW options were available only with the BOTH option or the default
various types of market capitalization (size) decile portfolios are more
clearly distinguished in the output.
- Full compatibility with SAS 9.x (9.1.2 or greater
- Full compatibility with CRSP U.S. Stock Database
formats shipped in 2005 and 2006 including both the original and expanded
daily database calendars.
- Several messages displayed
in the SAS log have been edited for clarity, and new messages introduced to
provide additional information. Several labels and headings in listing output
and variable name labels in output data sets have been enhanced also.
What Was New in Eventus 7.0
(And Still in Eventus 8.0 and 9.0, Of Course)
- Fama-French factor support. (Uses calendar-time
and Ibbotson RATS event study methods).
- Skewness-adjusted test for long-run buy-and-hold return
- Ability to value-weight event study samples.
- Bootstrapped versions of 5 parametric event study
tests (including skewness-adjusted).
- Adjust for bid-ask spread (for Nasdaq samples using CRSP data,
or with appropriately structured user-assembled data from any source).
- Ibbotson RATS event study methods.
- Calendar time event study methods including Fama-French.
- Wilcoxon signed-rank test.
- More complete features for TWIN option (firm-specific length event window) event
- Volume event studies.
- More complete and convenient options for pre-extracted data from non-CRSP sources.
- Extensive support for event studies using Datastream data through the optional EventStream application.
- And more!