File for Eventus or SAS Event Study
Posted: 09 August 2014 03:19 PM   [ Ignore ]
Newbie
Rank
Total Posts:  21
Joined  2014-07-18

How should the file for an event study with multiple external event dates be constructed?  If I want to use eventus and I have 1000 companies and 17 event dates, do I construct the file with each company repeated 17 times for each event?

Also, if I am trying to do this with SAS code, how would I construct the file?  I have a file with companies and return data and a file with the event dates.

Thanks in advance!

Profile
 
 
Posted: 10 August 2014 08:38 AM   [ Ignore ]   [ # 1 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Samme,

Eventus will need firm identifiiers (permno, or possibly gvkey) and the date. If a firm has multiple events, each event will need to be on a separate line (i.e., a ‘long’ format, instead of a wide format). So, you’ll have 2 columns.

If you have one file with company info and another file with return data, you’ll need to join these. On this website (tutorials) there are many examples of how to join datasets with proc sql. It can also be done with the data step. See here for a discussion: www2.sas.com/proceedings/forum2008/178-2008.pdf ; this pdf may be a bit of an overkill if you want to do a simple join, but it covers other types of joins (outer join, left join) that may come in handy at some point. smile

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: 10 August 2014 11:03 AM   [ Ignore ]   [ # 2 ]
Newbie
Rank
Total Posts:  21
Joined  2014-07-18

I have the file constructed.  There is one column with permno’s and the second column has event dates.  I want to upload the file to eventus.  BUT, I need the estimation period to be stagnate.  Estimation period should be 7/15/2001 - 12/27/2001.  There are 17 event dates running from 1/17/2002 through 7/30/2002.  Is this possible?  Also, I want the return for the entire portfolio for each event date.  Not each firm. 

I think I need to create a file for each event date if I want the estimatation period to be the same for each.  I am not sure how to do all of this coding in SAS and am trying to speed things up as I am running out of time.

Thanks!

Profile
 
 
Posted: 10 August 2014 12:10 PM   [ Ignore ]   [ # 3 ]
Administrator
Avatar
RankRankRankRank
Total Posts:  901
Joined  2011-09-19

hi Samme,

I don’t know Eventus well enough to know what is and what isn’t possible with Eventus.

Writing the event study yourself without Eventus is an option as well. That requires some SAS skills obviously, and with time running out that may not be ideal. Nevertheless, here are two tutorials to get you started with estimating market model, etc: http://www.wrds.us/index.php/tutorial/view/18 and http://www.wrds.us/index.php/tutorial/view/17 .

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