SAS macro for event study and beta

There are two macros on the List of WRDS Research Macros: EVTSTUDY and BETA, which may be often used.

I like the first one, written by Denys Glushkov. Denys’ codes are always elegant. I don’t like the second one because I believe it contains not minor mistakes and does a lot of unwanted calculation.

Since event study and beta calculation are just two sides of one thing, I make the following macro to output both event study results (e.g., CAR) and beta. My macro heavily borrows from Denys’ codes but differs in the following ways:

  1. I add beta to the final output. This is the main difference.
  2. Deny uses CRSP.DSIY to generate the trading calendar and market returns. I cannot see why he uses this dataset. The trouble is not every institution has the subscription to this dataset. Thus, I use a more accessible dataset CRSP.DSI instead (Thank Michael Shen for bringing this to my attention).
  3. I improve efficiency in generating related trading dates at the security-event level.
  4. I correct several errors in Denys’ macro: (a) his macro does not sort the input dataset by permno and event date, leading to a fatal error later on; and (b) I correct a few dataset/variable references.
  5. Deny’s macro switches off warning or error messages, which is inconvenient for debugging. I change this setting.

All changes are commented with /* CHANGE HERE */. I compare the results (CAR and beta) from using my macro and those from using a commercial package, EVENTUS (with the help of my friend who has the license to EVENTUS). The accuracy of my macro is assured (Note: EVENTUS does not take delisting returns by default).

Update: WRDS rolled out the event study web inquiry (so-called Event Study by WRDS). I recently checked the accuracy of that product. To my surprise, the accuracy is unsatisfactory, if not terrible.


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One Response to SAS macro for event study and beta

  1. Carolina says:

    Very good!

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