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While the crsp database is the only data source from which, using the native database format, Eventus automatically retrieves and assembles data, you can run an Eventus event study with other data. This section describes how to conduct an event study where Eventus reads stock return data from any source. If your data source provides prices but not returns, you will need to calculate returns as Eventus does not do this.

Datastream users can automate most of the process using the EventStream package from Cowan Research, L.C. EventStream accepts Eventus-like op- tions and request files, generates ready-to-run DSWindows macros for use with the Datastream DSWindows program, pre-processes downloaded data, builds a mini-database, and generates Eventus statements. Please visit www.eventstudy.com for details.

Required contents of a database for the SASNONCRSP method

The mini-database for the SASNONCRSP method consists of sas data sets created by the user. The EVENTUS statement option INDEXDS option points to a data set containing at least two columns: CalDt, a sas date variable containing the calendar date of the observation, and one or more columns of market index returns. When the mini-database frequency is daily, only days when the market is open should be included. Dates on which the market is closed, such as weekends and holidays, are omitted, not represented by a zero or missing return. However, dates on which the market is open, but the researcher does not have the index return, should not be omitted when they fall between the earliest and latest dates the researcher wants to include in the mini-database. On dates when the market is open but the researcher does not have the index return, place a sas missing value code in the index return column(s).10 _{The index data set serves as the master calendar for the} mini-database, and therefore all dates in the security returns data set (or other individual security data) must also appear in the index data set.

The name of an index return column is ? wret?, where the first ? is

10

The basic sas missing value code is a decimal point character (dot) separated from other data by at least one leading and one trailing blank. In an Excel file to be imported into sas, enter a single apostrophe immediately before the dot.

replaced by e for an equally weighted index or v if the index is value-weighted. The second ? is replaced by d if the index return includes dividends or x if it excludes them. By default, Eventus looks for ewretd. To use a column name that ends in x, specify NODIVIDX on the REQUEST statement. To use a column name that begins with v, specify VALUE on the EVTSTUDY statement. The second data set is pointed to by the EVENTUS statement option RETURNDS. It contains three columns: the date CalDt, the security identi- fier, and the rate of return ret. The security identifier can be a numeric or character variable. Its name and format are defined by the REQUEST state- ment specifications ISSUEKEY and ISSUEFMT respectively. Each row of the data set contains the rate of return for one issue for a single day, month, etc. For each security, the data set need contain only dates from the first available return to the last available return for the security. Within that range, however, there should be a one-to-one correspondence between dates in the return data set for the security and dates in the index data set. Code a missing return as a sas missing value in the return column.

Statements

Figure3.4displays the statements and options that have specific interactions with the use of non-crsp data in event studies. All non-database-specific event study options described in this Guide are available with the SASNON- CRSP method described in this section.

The EVENTUS statement

The SASNONCRSP option must appear on the EVENTUS statement to use non- crsp data. The SASNONCRSP option indicates that the data source for the event study is a user-constructed mini-database. The contents and format details appear under the REQUEST statement below.

MONTHLY|WEEKLY|QUARTERLY|ANNUAL With non-crsp data, these options tell Eventus the frequency of data in the input data set. Eventus does not select a different data set depending on the frequency as it does with crsp data; the user is responsible for verifying the data frequency. If no data frequency option is specified, Eventus expects the mini-database to contain daily data.

Figure 3.4

Eventus Statements and Selected Options Specific to a Non-crsp Event Study Centered around a Single Date.

[filename request 'G:\Some Folder\Filename.extension';] EVENTUS SASNONCRSP [MONTHLY|WEEKLY|QUARTERLY|ANNUAL] [INDEXDS=libname.marketmembername RETURNDS=libname.returnmembername]; [TITLE 'text';] [TITLE2 'text';]

REQUEST [NAME] [INSAS=libname.requestmembername] [ISSUEKEY=name] [ISSUEFMT=SAS format];

WINDOWS (begin,end) [(begin,end) ...]; EVTSTUDY options;

INDEXDS RETURNDS These parameters are required when using the SASNON- CRSP option. The next subsection describes them further. Additional options can be used to specify other kinds of SASNONCRSP input data. Additional ref- erence documentation on the EVENTUS statement is in Appendix SectionB.4.

The REQUEST statement

If the request file is a text file, the sas file shortcut request must point to it.

Including issuer names To have Eventus show security issuer names in the listing output, specify the NAME option on the REQUEST statement. The name is retrieved from the name history array of the database, described on page 107.

The WINDOWS statement

The WINDOWS statement is optional and has no special interaction with non- crsp data input.

The EVTSTUDY statement

The EVTSTUDY statement is required for an event study. In the SASNONCRSP method, all EVTSTUDY features and options in this chapter, and all other event study-related features and options in this Guide except those that are specific to crsp data, are available.