Eventus
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EventStream

Eventus Features

Eventus and
SAS

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Eventus?

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Fama-French Factors

Volume Indexes

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Parametric Tests

• Methods documented in Brown & Warner (1980, 1985) and more recent papers.
• New in version 7! Skewness-corrected transformed normal test (Hall, 1992, JRSS).
• New in version 7! Calendar-time test adapted for long-horizon event studies (Lyon, Barber and Tsai, 1999, JF).
• New in version 7! Jaffe-Mandelker calendar-time test.
• New in version 7! Returns Across Time and Securities (RATS; Ibbotson, 1975).
• Patell (1976, JAR) test.
• Standardized cross-sectional test (Boehmer, Musumeci and Poulsen, 1991, JFE).
• "Crude dependence adjustment" (portfolio time-series standard error) test.
• Cross-sectional test.
• Event parameter approach with OLS, SUR (JGLS) or iterated SUR testing.
• Sanders-Robins (1991, RQFA) t-test using either EGLS or the Collins-Dent approach assuming cross-sectional independence.

Nonparametric Tests

• Generalized sign test based on fraction positive in estimation period [Cowan (1992, RQFA).]
• Rank test [Corrado (1989, JFE).]
• Jackknife test [Giacotto & Sfiridis (1996, Journal of Economics and Business).]
• Bootstrap analogs of five parametric tests.
• New in version 7! Wilcoxon signed rank cross sectional test.

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