Event Study Features of Eventus ® Software from Cowan Research LC

Eventus® Additional Event Study Features

Additional Event Study Output

Lists complete name of each sample stock as reported on the CRSP or non-CRSP input database, user-defined identifying variable if any, event date including day of the week, number of non-missing returns in the estimation and event periods, explanation when data is not found or there is insufficient data.
Summary of options in effect.
Estimation period mean return, market model parameters, residual and total risk measures, mean market index return and serial correlation for each event.
Event study results for each day (month) and window (see "Event Period.")
Option to print windows or full event study results for each firm separately.

Cross-Sectional Event Study Testing Support

Option to store firm-by-firm results in a SAS data set.
Option to produce cross-sectional data set with window cumulative abnormal return (or abnormal buy-and-hold return) for each firm.
Option to include in cross-sectional data set a weight for each firm consistent with Patell standardized residual model.
Cross-sectional data set contains dependent variable and weight ready for PROC REG -- just add explanatory variables.

Other Event Study Features

Volume event studies (using relative trading volume instead of return).
Significance levels reported for one or two tailed tests as specified by user.
Option to specify minimum number of non-missing returns in estimation period for observation to remain in sample.
Option to specify maximum number of missing returns in event period for observation to remain in sample.
Accepts non-CRSP data in a specific ASCII file format or in a SAS data set.
Prompt, expert user support by e-mail.