Event study

The EDSC offers two tools to perform an event study. The most important differences  of the underlying data that these tools use are:

  • Access: Getting data from Datastream is only possible at the Datateam pc’s in the Y03-17. Eventus is accessible via from home.
  • Geographical coverage: CRSP only contains American stocks. Datastream offers stock prices from Europe, America, Asia, Oceania and Africa.
  • Historic: CRSP has data started from 1925. Datastream contains stock prices from  1973 onwards.
  • Identifiers: to get data from financial databases like CRSP and Datastream identifiers are needed, these are codes identifying e.g. a company, stock or bond. In Datastream one can use ISIN-, SEDOL- or DS-codes, in CRSP you need the CUSIP (8 digits) or Ticker symbol to retrieve the data.
  • Update: CRSP is being updated once a year, while Datastream is updated daily.

Download manual

The pdf below shows an entire event study. It demonstrates the use of several databases and how to combine them. It also shows you how to merge this data: the manual covers all kinds of issues you need to solve.