Event Studies in SAS
These short steps serve as directions for running the Event Study SAS Program():
1. Download the log file.
2. Download the RequestFile, FirmData, and MarketData files
3. Place the files in a single folder somewhere on the hard drive
4. Open the log file in the SAS Editor
5. Adjust the places in the code indicated where one inputs the three data files (from above) to indicate the position of the folder containing the files on your hard drive
6. Run the program
+ Running the Program in HTML Output Mode creates accompanying charts
+ This Program is operable for only one firm at a time. This said, for someone with only minor experience using SAS it is easy to repeat the market regression and statistics as many times as one likes to produce output for N firms. At some point in the future, I hope to come up with a model utilizing macros and hashcode that obviates the need for step 5 and will take as input an arbitrary number of firms.