The most important element in the Eventus web query is the Request File that contains: 1) the input codes (PERMNO or CUSIP) that identify the stocks and, 2) the associated event dates.
This is a file that the user must create ex-ante, since it defines the type of events you may want to study using the Eventus software. In other words, Eventus will not create the file for you.
In order to be read correctly by Eventus software, the file must have a specific format. In general, a simple text file with one space between the identifier and the date will work. See the Sample Request files for some examples and further details on the format. If you want to check whether your file has the right format use the Request File Validation Tool.
Once you have your Request File, use the 'Browse ...' option to find it on your PC. Note that the selected file will download data from CRSP data files in the WRDS system.
Following the directions in the grey boxes on the left should help complete the other steps. Each of these options correspond to items and options described in the Eventus manual. Below is a synthesis of the steps and option you will have to follow.
In Step Two you will select the market indices and the benchmark for the estimation of the Abnornal Returns. Note that the Market Model is selected as the default benchmark.
In Step Three you will select further specifications for the estimation of the Abnormal Returns: 1. Defining the Estimation Period: beginning (EST), length (ESTLEN) and minimum days available (MINEST); 2. Selecting the use of trading days, when the event date is just a calendar date (AUTODATE); 3. Selecting the estimation method of the parameters: OLS, GARCH, EGARCH and Scholes-Williams.
In Step Four you will need to select specifications for the Event Period: 1. PRE and POST will define the length of the Event period for which you will obtain abnormal returns; 2. The Windows specification will define the event windows for which Eventus will compute the Cumulative Abnormal Return.
In Step Five you may select among different options to test whether the Cumulative Abnormal Returns obtained are statistically significant. As well the DETAIL=FULL will allow you to obtain a more detailed output providing all the results for each identifier-event date pair.
As an alternative to the web query, you may also run a SAS program on our Unix server using the directions and options that are described in the Eventus manual. Some sample SAS programs for Eventus can be found in the table Dataset List and Sample Programs under Support.