Play on WRDS: EVENTUS for Event Studies

In use by 300 institutions worldwide, Wharton Research Data Services (WRDS) is a comprehensive source of financial, accounting, economic, management, marketing, banking, and insurance data. WRDS offers access to more than 40 separate databases. Popular databases in WRDS suite include:

COMPUSTAT (detailed historical financial data on the world’s largest public companies) and CRSP (daily stock prices and returns for U.S. companies).

EVENTUS is a program designed for event studies – the examination of the impact of an event on the value of a company. EVENTUS is not a typical WRDS database. Unlike most, it is not a data file, but rather a program that uses the CRSP file as its data source. Examples of event studies might be:

What effect does joining the S&P 500 have on the value of a company’s stock?

Does the announcement of an acquisition typically raise or lower the acquiror’s stock price?

To answer these types of questions, the EVENTUS program requires only a company identifier and the date the event (such as an acquisition) was made public. The program then calculates what is known as “Abnormal Returns” of the stock. This is the actual return minus the expected return if the event had not taken place. The calculation averages the abnormal returns across companies and time periods.

EVENTUS extracts the total return data needed for its calculation from the CRSP stock price database. As company identifiers, it uses CUSIP numbers or PERMNOs (a unique company number assigned by CRSP to each company they cover).

The first few entries of a file for an EVENTUS study might look like this:


Here, the Permno identifies a company and the date describes when the company made information public.

The WRDS version of EVENTUS guides the user through the program with a series of questions. Examples of questions include the estimation period and the market index to use in the calculation.

A key table in the output from the EVENTUS program shows the abnormal return and its statistical significance. The table below shows the abnormal returns for a group of 65 companies who announced their submission of restated earning to the SEC between 2003 and 2007.


Restated earnings are usually a bad omen for a company. We can see that by DAY “0” (the date of the announcement of the restatement) the stock prices of the companies were already sinking. The fact that the stock prices were dropping before the official announcement day may be evidence of “insider” trading. The asterisks * and ** indicate the level of statistical significance at the .05 or .001 levels (one-tail test).

WRDS has an excellent video tutorial on using EVENTUS. For an article describing the EVENTUS program and event studies in more detail, see the following:

Events and EVENTUS: Understanding and Facilitating Event Studies
Michael Halperin, Edward J. Lusk
Journal of Business & Finance Librarianship 
Vol. 18 (1), 2013, p. 1-13.

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