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Event Study by WRDS

An event study is an empirical research method used "to analyze the market reaction to firm specific and market-wide events using either returns or volume around the time when the event occurred" (Event Study by WRDS description). Examples of events you may wish to study include earnings announcements, M&A activity, or leadership turnover.

Event Study by WRDS

Event Study by WRDS is a tool you can use to do an event study. Use your own events or use the Capital IQ Key Developments. See also this video introduction.

Using Capital IQ Key Developments

To run the study in the Web Query form:

  1. Connect to Event Study – see WRDS access help
  2. Scroll down and under Subscriptions click on Event Study by WRDS.
  3. Select the file (e.g. U.S. Daily Event Study: Events from Capital IQ)
  4. Fill out the Query Form. Step 2 refers to events from Capital IQ Key Developments.

To see details about the Key Developments file:

  1. Connect to Capital IQ Key Developments & Identifiers – see WRDS access help
  2. Scroll down under Subscriptions and click on Compustat Capital IQ > Capital IQ > Key Developments.
  3. Here you can use the Web Query Form to see what dates are covered and what variables exist.

To download the most recent manual:

  1. From the Key Developments Web Query Form page, go to the Manuals and Overviews tab.
  2. Scroll down to Capital IQ and click for more options to get to the Key Developments manual.
Using Your Own List of Events
  1. Create a .txt file with two columns.
    1. First column contains the security identifier (options: PERMNO, 8 digit CUSIP, or Ticker).
      1. We're happy to advise on the best way get these identifiers and would encourage using PERMNOs or CUSIPs.
      2. Make sure the format you select on the Web Query form matches what is in your txt file.
    2. Second column contains the date of the event (options: DD/MM/YYYY, MM/DD/YYYY, YYYY/MM/DD, YYYYMMDD).
      1. Make sure the format you select on the Web Query form matches what is in your txt file.
  2. Connect to Event Study – see WRDS access help
  3. Scroll down and under Subscriptions click on Event Study by WRDS.
  4. Select the file (e.g. International Event Study (Compustat Global): Upload your own events)
  5. Fill out the Query Form.
    1. For Step 1, refer to the notes above about the .txt file and see the below example.




Answered By: Alice Kalinowski
Oct 17, 2022

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