Getting data in and out of Eventus
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 (double-click the file) then choose File > Export and Files of type: Microsoft Excel Workbooks.
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.
Updated 20 January 2016 with some new screenshots for WRDS and SAS.