Lets say that you would like to analyze the abnormal returns around important corporate events and to compare these effects across firms depending on the type of event. For instance, you would like to determine if the cumulative abnormal returns (CAR) in the event windows specified are different across two event portfolios: GROUP 1, which includes all “bad news” events and GROUP 2, which contains all “good news” events.
You may perform such a study using the Eventus web interface.
First, the request file should include the following items: PERMNO (or CUSIP), DATE, ID and GROUP# for each observation. The value in GROUP will generate the portfolio of events, that is, if GROUP has value 1 and 2, only two portfolios will be created.
Next, select the GROUP option (in Step 2 box) and the event parameter approach option OLSPARAM (in Step 3 box).