Eventus
Software
View User Guide
EventStream
Eventus Features
- Choice of market model, market adjusted, mean adjusted, or raw returns in event studies.
- Allows all the above benchmarks in the same event study run for comparison.
- New in version 7! Fama-French factor support. (Uses calendar-time
and Ibbotson RATS methods).
Can use the event parameter model approach with OLS, SUR (JGLS) or iterated SUR estimation. - The user can customize the return-generating model by including additional factors in the event parameter approach.
- Supports optional Scholes-Williams, GARCH or EGARCH market model estimation.
- Supports size-decile-matched return benchmarks as an option for all CRSP stock file users
- Supports beta-decile-matched benchmarks as an option for CRSP's add-on Indices/Portfolio Assignments product (replaces the old CRSP Excess Returns file).
- Option to convert returns to continuously compounded before calculation of abnormal returns.
More about Market Index Choices
- Directly accesses the basic stock indices from the user's copy of the CRSP stock files: equal- or value-weighted CRSP index with or without dividends, Standard & Poor's 500.
- Optional size or beta decile returns with the optional CRSP Indices/Portfolio Assignments files.
- The installation kit includes software that generates size-decile portfolio returns using the portfolio numbers in the annual-data fields of the CRSP stock file. The resulting file can be used by customers that do not subscribe to the separate CRSP Indices/Portfolio Assignments product.
- User can specify a linear model with up to nine factors in the event parameter approach using OLS, SUR or iterated SUR.
- Allows two index choices per event study run for comparative results (except with the event parameter method.)
