Eventus VS CRSP
Posted: 26 September 2011 08:55 AM   [ Ignore ]
Sr. Member
RankRankRankRank
Total Posts:  169
Joined  2011-09-20

Joost and everybody here,

It seems Eventus is very handy for event study. instead of calculate everything from CRSP data. (pros)

Can anyone using this package tell me what is the Cons of using this package, anything we need to pay special attention when using it?

I may use it in the long term.

Cheers,

 Signature 

Zenghui
A humble student of business

Profile
 
 
Posted: 26 September 2011 02:45 PM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Zenghui,

Since it is a commercial package, it is highly likely that the developers have put it a lot of effort to make it ‘bug free’.

Nevertheless, it is a black box. I have not come across an academic paper (in a finance/accounting journal) where Eventus has been used (there could be papers that have used it, though). I think we are ‘supposed’ to be able to everything by hand and have full control over what is happening. It nevertheless could be a very handy tool to benchmark and compare results.

best regards,

Joost

 Signature 

To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

Profile
 
 
Posted: 26 September 2011 09:11 PM   [ Ignore ]   [ # 2 ]
Sr. Member
RankRankRankRank
Total Posts:  169
Joined  2011-09-20

Thanks,

Great points/reviews.

 Signature 

Zenghui
A humble student of business

Profile