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Financial Databases and Research - Event studies and CRSP
Financial Databases and Research

Event studies and CRSP

Posted in Wharton

 

Many people who do research are interested in finding out how the trade in stocks of a listed company are affected by certain events. These events can for instance be announcements of company results or news surrounding mergers / acquisitions, etc. Datastream has a specific tool to do this type of research called a Request table.

 

Doing regular searches in Center for Research in Security Prices (CRSP) in WRDS you can only do a single search for information using one specific date range for 1 or more companies. CRSP, however, has a tool to do event studies which is available under tools in Wharton: see this option on the left side in the menu.

 

 

After clicking the Tools option you can find the "events" tool called "CRSP - Daily Extract with Time Window (Annual Updates)". 

 

 

Using the tool you can download four types of data surroubnding dates for companies:

  • Information on trading dates
  • Identification information
  • Price information
  • Share information

Author information: LinkedIn

 

09:52 PM - 2 May 2010


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