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Eventus is a tool to perform event studies on US companies, pulling data directly out of the CRSP stock database. It is available through the WRDS portal for postgraduate students and members of staff at The University of Manchester.
The interface of Eventus is similar to the other platforms available through WRDS, but it can be a little more confusing to the newcomer. The post aims to help you get data in and out of Eventus, resulting in a usable Excel or CSV document. It does not aim to explain the mechanics of Eventus or what is really happening under the surface!
Preparing company identifiers and dates
Typically, people who decide to use Eventus already have a list of acquiring companies, identified by PERMNO codes, and a corresponding list of dates to study (in YYYYMMDD format). Copy these two columns to a new Excel workbook in this order, then delete the header row if there is one.
This workbook will need to be Saved as type: Text (Tab delimited) (*.txt). Ignore any warnings about the file type not accepting multiple sheets — you only need the active worksheet. Accept any warning about features not compatible with this file format. After the file has saved, close it, ignoring any further warnings about not saving changes.
You should now have a plain text file that begins like this if you open it in Notepad++ or similar.
Your file is now ready to be uploaded to Eventus. Log onto WRDS, then choose Eventus from the drop-down list Select a Data Set on the top-left. Choose Cross-Sectional Analysis Daily. (Only the cross-sectional analysis options produce data that can be used in the methods described by this blog post.) You will see that CUSIP codes could have been chosen instead of PERMNO, but I suggest PERMNO where possible — there can be confusion over CUSIP codes sometimes, whether you need 6, 8, or 9-digit versions.
Choose your new text file to upload. Fill in the options as you require, including the event period and alternative windows.
When ready, click on the Submit Query button. The next screen can take a few seconds to load, but hopefully it will look like this (above). If not, read the error message and check what you entered on the previous screen.
You can download three files, but the first one is the most useful. It has a filename ending in .sas7bdat. This is a SAS dataset.
Opening or converting the results
If you have SAS installed on your computer, you can open the results file directly in that.
If you have SPSS instead, you can import the results file then export it to Excel format or CSV.
- To launch SPSS, go to Start > IBM SPSS Statistics > IBM SPSS Statistics 22 (or 20).
- To import in SPSS, use File > Open > Data and then Files of type: SAS (*.sas7bdat).
- To export it from SPSS, use File > Save As and then Save as type: Excel 2007 through 2010 (*.xlsx) or Comma delimited (*.csv).
This guide should help you to upload data to and download data from Eventus, ready for the next stage of your study. If you found this useful, or if you need further help explaining these steps, please leave a comment below.
In undertaking research on a particular topic it is a good idea to ask the question: is this research feasible?
Seeking guidance from a librarian can be beneficial, highlighting relevant factors in completing an MSc dissertation, for example. Is it possible to obtain the data required? How difficult is it to use a database? Can I obtain the data I need in the time available?
Datastream: a database commonly used in financial research.
Factors such as timing and location can be pertinent.
Timing: Limited to 3 months to complete an MSc dissertation, a student must carefully consider if what they are planning is realistic – trying to replicate what has been produced for a journal article is unlikely to be so.
Location: This can limit options in terms of obtaining data, where a student is a distance learner – meaning the data they require may not be accessible.
In seeking to confirm the feasibility of research, the Business Data Service (part of Research Services, The University of Manchester Library) assist students (and staff) at the University of Manchester, through:
Numerous sessions are delivered each semester (e.g. Mergers and Acquisitions, Researching Quoted Companies, Researching Private Companies, Researching Company Directors, Datastream [standard, advanced], Bloomberg Professional [introductory]) providing assistance in using specialist financial databases, to help students gain competence in searching for required data.
BDS Training Sessions (available to current students and staff of the University of Manchester).
Through these regular drop-in sessions, students can discuss their requirements and confirm the best options to obtain data.
One to One Training Session.
These allow extended support and the flexibility to fit in with the student/librarian’s other work commitments and any preparation needed on the part of the librarian.
Establishing the feasibility of research provides a valuable service, taking advantage of the accumulated knowledge and experience of librarians (such as those in the Business Data Service), for the benefit of students.
A more detailed post is available on the Library Research Plus blog.
Thomson Reuters provides student training resources, specifically Question & Answer sessions in the form of webinars.
The products covered are Datastream and ThomsonONE.com, although they also cover Thomson Rueters Eikon (which we do not have at The University of Manchester).
Theses sessions are free to current students of an institution that is a Thomson Reuters customer. You simply need your University email address to sign up.
- Thomson ONE: Wednesday, 11 February 2015, 2pm to 3pm (GMT)
- Datastream: Tuesday, 17 February 2015, 10am to 11am (GMT)
The WordPress.com stats helper monkeys prepared a 2014 annual report for this blog.
Here’s an excerpt:
The Louvre Museum has 8.5 million visitors per year. This blog was viewed about 120,000 times in 2014. If it were an exhibit at the Louvre Museum, it would take about 5 days for that many people to see it.
Originally posted on Library Research Plus:
At The University of Manchester Library we subscribe to many database resources, containing vast amounts of structured data, organised by further descriptive or meta data. These descriptions can be considered as many dimensions or variables, and it is important to focus on just a few to begin with.
Many research students frequently need to consult our large and rich selection of specialist business and financial databases to collect data and to shape their studies. There are over fifty databases that I would consider particularly relevant to that field, which are also of interest to a wider audience. It would be beneficial to these new researchers to have a better way to begin to answer these queries quickly, saving potential hours of trawling through the wrong resource.
As an experiment, I created this diagram of specialist financial databases in the style of a topological tube network:
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Originally posted on Library Research Plus:
Browse The University of Manchester Library website and you will find a large number of business databases. Researchers have to chose which of these is best for their research and this can be influenced by various factors. To guide this decision it is important to remember the factors that lead to academic libraries having many business databases.
The best known business databases are commercial products: for example, Bloomberg Professional, Datastream (Thomson Reuters), and Capital IQ (Standard & Poor’s) . They are available to universities for non-commercial use but their main market is finance professionals. These systems are similar but not equivalent. The companies developing these systems are constantly trying to improve them to maintain or increase their market share, and often this includes providing data that is not available from competitors.
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Students can purchase cases at educational rate from The Case Centre (replacing the European Case Clearing House (ECCH)) if they register first.
- See How do I get access to case studies? on Manchester Business Answers 24/7 (updated)
The term case study is used in two slightly different ways. There are teaching case studies which provide enough information for students to do their own analysis. Then there are journal articles describing the results of case study research – what we might term research case studies.
Consider your module’s core text books as well.
Note: Case studies for teaching are not held in the library. They are acquired when needed for teaching purposes by academic staff.