all the answers you need

  • What is the advantage of conducting an event study with Event Study Metrics instead of another statistical software?

    Event Study Metrics does not require any programming skills. It is a software especially for event studies that contains numerous specific test statistics, return models and methods. However, the real advantage of Event Study Metrics is the speed at which you can set up and modify complex event studies. Event Study Metrics provides full calculation transparency: each step can be seen within the software. 

    Does Event Study Metrics only work with a specific database?

    No. Event Study Metrics is a stand-alone software program. The necessary data can be imported as a CSV-File. Event Study Metrics provides you with optional interfaces (available as additional fee-based add-ons) for various databases.

    How do I set up an event list?

    An event list consists of at least three columns. The first column should contain the IDs of the assets. The IDs can be any kind of identifier (e.g., CUSIP, ISIN, PERMNO) but must match the IDs used within the dataset and should not contain any blanks. The second column should contain the firm names and the third column the event dates. The date format can be either DD.MM.YYYY or MM/DD/YYYY. A sample file can be found here.
    A detailed manual on how to set up an event list as a “comma-separated value file” (.csv) can be found here

    How do I set up a dataset?

    A dataset consist of at least two columns. The first column should contain the timeline. The date format can be either DD.MM.YYYY or MM/DD/YYYY. The following columns should contain the pricing/return data. Each column should contain the time series of one asset for the overall observation period. A sample file can be found here
    A detailed manual on how to set up a dataset based on a “comma-separated value file” (.csv) can be found here.

    I have problems creating a .csv file. What is it and how do I set it up?

    “CSV” stands for “comma-separated value” and is a file format that is used by most spreadsheet programs or database software. If you have problems storing your data as a .csv file, please follow these instructions:

    My dataset contains multiple rows for each asset. I have problems importing my data because Event Study Metrics requires prices for each asset to be listed in a column.

    Your data is in the so-called “long format” and needs to be reformatted into the “wide format”. How do you do that? No problem, we’ve got you covered! You can download our Long-Wide Converter, install it on your computer, and easily convert your data. Here’s a step-by-step manual on how to do it.

    I use the market model. Estimated betas do not match the betas provided by my financial database. Is it possible to replicate these estimates?

    Some financial databases use adjusted betas following Blume (1975). Event Study Metrics allows you to calculate Blume (1975) adjusted betas as well. The adjustment can be (de)activated within the settings menu.

    How can I compute the average abnormal return (AAR) and all related test statistics for a single day event window (e.g., the event day)?

    You just need to define event windows (sub) for a single day before conducting your study. For example, an event window (sub) from day zero to day zero (0…0) will report the AAR and all related test statistics for the event day.

    I get the “near singular matrix” error message when conducting an event study. What does it mean and how can I fix the problem?

    In case you are using a regression based model (e.g., the market model), the estimation of the parameters might not be possible as the data matrix cannot be inverted (multicollinearity). These events can be dropped automatically by check marking the Skip ‘near singular’ events option in the settings form.

    What it is the null hypothesis of the (time series/cross sectional) t-test?

    Under the null hypothesis, the (cumulative) average abnormal return (C)AAR is equal to zero.

    I have reinstalled my computer (or the Event Study Metrics software). When trying to register the software again, I get an error message. Why?

    Please note that our student version is a single user/machine license. When reinstalling your computer (or the Event Study Metrics software) with the initially assigned serial number, you will get an error message. Please contact our support team. In case you still use the same computer, we will reset your registry. In this case, you will be able to reregister the software with the serial number initially assigned to you.

    I have purchased and installed a student version of the Event Study Metrics software. When trying to install the software on an additional computer, I get an error message. Why?

    Our student version is a single user/single machine license. According to our license conditions, you cannot install the software on more than one computer at a time.

    The Event Study Metrics software stops the calculation without displaying any error message. Why?

    Please make sure that you have installed the latest version of the Event Study Metrics software. The latest version is 1.06. You may manually check for an update by selecting Update from the Help menu.

    I want to conduct an event study with a single event date (e.g., a policy change or a disaster) that affects all firms at the same time. What do I need to do?

    In that case you need to set up an event list where each firm has the same event date. You can also activate the Kolari/Pynnönen adjustment to receive a cross-correlation adjusted version of the Boehmer et al. (1991) test. You can also interpret the non-parametric test statistics but should skip the simple parametric ones as they are not robust.

    I have received the “File is being used by another program!” error message when importing my dataset. But the Event Study Metrics software is the only program running on my computer.

    The error message may occur if the dataset is structured in the wrong way. Please make sure that your data is correctly formatted (e.g., all asset prices are assigned to a specific date). Event Study Metrics provides you with a detailed step-by-step instruction for organizing and storing your dataset (in order to make it compatible with the software). This manual can be found by clicking on the following link.

    How can I apply the multi-country version of the market model?

    You can use the matching ID column (this is the 4th column in the event list) to define a specific index for each event. In that case, the index time-series should be a part of the dataset, not of the return model. You can simply add the asset pricing data of your reference indices to the dataset using the ID of the index in the first line. Applying the multi-country approach you do not need to set up a return model.

    I have a Mac. Can I run Event Study Metrics on my computer?

    We currently do not offer an OS X version of our software. However, you can run Event Study Metrics on your Mac either natively using Boot Camp or on a virtual machine, using virtualization software such as VirtualBox, Parallels, or VMWareFusion

    What are the system requirements?

    Event Study Metrics basically runs on all modern Microsoft Windows machines. More specifically, the software requires either Microsoft Windows XP, Windows Vista, Windows 7 (32/64 Bit),Windows 8, and Windows 10 as operating system. To handle an ordinary event study (30,000 events, 30,000 assets with daily data) you need not more than a single-core PC with a 2 GHz CPU, 4 GB of free RAM, and 50MB of free HDD space. Practically speaking, this implies any Windows machine purchased over the past 10 years.