When doing an event study, you will need different types of data, such as historical price data (more specifically, a time series of prices) on the stocks of the firms you want to study and on the reference markets of those stocks. While you may use Thomson One or Compustat for this purpose, Quandl (public domain), Google and Yahoo!Finance provide free historical financial data. There are several other Internet resources supporting your data collection efforts, ranging from instructional videos, websites (e.g., the Yahoo!Finance API), Excel macros or even micro services offering outsourced data preparation.
Besides of financial data, you need the exact dates on which your events of interest took place and became known to the capital markets. Depending on your area of research and the questions you want to investigate, there are different sources of data on event dates. The following table provides you with potential sources of event data:
|Fama French Factors - US firms (Quandl)||Fama French factors for US firms, hosted at the dataset aggregator Quandl|
|Fama French Factors - German firms||Fama French factors for German firms, hosted at Humboldt-University Berlin|
|Semantic Wire||Innovative startup providing you systematic access to otherwise unstructured press releases and news|
|Securities and Exchange Commission||Regulatory actions and company filings|
|EM-DAT: The International Disaster Database||Market/environmental events/shocks|
|U.S. Consumer Product Safety Commission||Recalls and product safety news|
|Recalls.gov||US Government database with lots of information on recalls in convenient database format|
|U.K. Recall Notice||Product safety recalls for the United Kingdom|
With the financial time series data and the event data described above, you can already apply the event study methodology and calculate abnormal returns for the events you choose. You can complement this analysis by using the resulting abnormal returns (aggregated to cumulative abnormal returns) as a dependent variable in a subsequent regression analysis to 'explain' the variation in the abnormal returns you find.
For performing regression analyses, you will need additional data. Depending on your research question, you may require additional data on economic variables, firm characteristics or ecological developments. Some databases you might find helpful are:
|KOF Index of Globalization||Detailed macro data related to globalization|
|Groningen Growth and Development Center||General macro economic data|
|World Federation of Exchanges||Aggregate data on national stock markets|
There are further data sets you might find useful for the process of doing your event study. For example, data sets on historical currency rates may help you transform historical values/data from one currency to another; or sample data sets of existing research that allow you to replicate studies and learn from this replication.
|Pacific Exchange Rate Service Sauder School of Business||Historical f/x rates|
|Damodoran Online||Datasets of Prof. Damodoran (Stern, NYC)|
|Data Repository at Tuck School of Business||Returns on Fama and French risk factors|