Event Study by WRDS

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MEASURE THE IMPACT ON THE VALUE OF A FIRM RESULTING FROM AN EVENT — INSTANT VISUALIZATION ON THE EFFECT OF EVENTS ON STOCK RETURNS

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Following a Dividend Cancellation, how is the stock return affected?
MEASURED 10 years of data (2005-2015 from Compustat Key Developments).
RESULT The return of the stock drops 11 percent during the 10 days after the news.
Negative reaction was observed a day before the announcement day; displaying of 95% confidence interval
around the average cumulative abnormal returns. The negative abnormal return is significantly different from zero.

FREE FOR WRDS ACADEMIC SUBSCRIBERS

WHY USE EVENT STUDY by WRDS?
• Instant visualization of the effect of events on stock returns – U.S. and Global
• Extract detailed, back-end data for analysis
• Retrieve the behind-the-scenes set of codes
• Access in-depth documentation on methodology used

KEY FEATURES
• Charts on Mean Cumulative Returns with significance intervals, mean Cumulative Total Returns (CTRs), mean Cumulative Abnormal (CARs) and mean BHARs
• Daily Event Studies based on Capital IQ Key Development event
• International Event Studies, covering 48 countries

DATA ACCESS*
U.S. Event Study Using CRSP data
U.S. Event Study with Capital IQ Using CRSP data and S&P Capital IQ Key Developments
Global Event Study Using S&P Compustat Global and IHS Global Insight
Global Event Study with Capital IQ Using S&P Compustat Global and Capital IQ Key Developments
*Access to Event Study by WRDS requires subscriptions to the data from these vendor providers.

USERS INCLUDE
Academic Researchers
Law Firms
Teaching
MBA
Undergraduate

CONTACT US FOR INFORMATION
WRDS
| http://whartonwrds.com | [email protected]