Research Computing >> Software >> Eventus
Eventus is available to faculty and doctoral students through Wharton Reseach Data Services.
Eventus is software to perform event studies reading data directly from CRSP or using data previously from some other source. The Eventus system includes utility programs to convert calendar dates to CRSP trading day numbers, convert CUSIP identifiers to CRSP permanent identification numbers, and extract event study cumulative or compounded abnormal returns for cross-sectional analysis. Eventus provides user control over estimation periods and cumulative return windows, a choice of raw, comparison period mean adjusted, market adjusted or market model abnormal returns.
Cowan Research LC
Eventus routines can be used by login into WRDS and writing SAS programs. The WRDS web interface has five screens for Eventus: basic daily and monthly event studies, Fama-French model, a screen to produce a SAS output dataset for cross-sectional analysis, and a screen for an event study using the event parameter approach.
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