Eventus ® Features: Event Period and Benchmark Estimation Periods in Event Studies

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.