There are several reasons why events can get dropped by Eventus:
- the Cusip or Permno isn’t found in CRSP. You get this message in the output file: “Unavailable; missing PERMNO, CUSIP xxxx not in the CRSP database”.
- there is no data available – the event date is after the last available date in CRSP. In the output file you see for example “xxxx’s data end before 20000425” (this was the entered event date).
- there is not enough data available – for example your estimation period had to be 25 days in length at least, but there are less days available. You’ll see “<25 security returns in est period” in the output.
- the market is closed on the event date (for example when the event data is a Saterday, Sunday or a holiday). When Autodate = NONE, these eventes are dropped from the analysis. NONE is marked by default.
You can adjust this by selecting Autodate = YES (non-trading dates are converted to the next trading day) or Autodate = BACK (non-trading dates are converted to the previous trading day).
In the Basic Daily Event Study this information can be found at the beginning of the output file.