Downloading stockprices centered around a particular date

When you need stockprices centered around a particular date, for example the announcement of a merger or a CEO change, you can use the Datastream Event Study Matching Tool (available on our website, you need an ERNA-account to access it). For this tool you need a list of identifiers Datastream can recognize (DSMnenomics, DS Codes, ISIN-codes or SEDOL-codes), the dates, in a format like 10-16-2007, and a computer with a Datastream connection. Behind Estimation window and Event window you have to specify the number of days around the event.

If your list only contains US companies you can also use a tool in CRSP:  this tool is called ‘Daily Extract with Time Window’. You can find it in CRSP Annual Update under Tools. Here you need a text-file with the PERMNOs and the event date (in YYYYMMDD format – see picture below). Under Window Size you have to specify the number of days before and after the event. Don’t forget to mark Company Name and Price.


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