Data Sources for Event Studies
Conducting an event study requires 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. We recommend you to use any of the common data sources of historial financial data (e.g., Thomson One, Compustat, Quandl, or Yahoo!Finance) if you want to manually compile the respective files, or make use of our data files compilation service.
Besides financial data, you will need the 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
|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
|Securities and Exchange Commission
|Regulatory actions and company filings
|EM-DAT: The International Disaster Database
|U.S. Consumer Product Safety Commission
|Recalls and product safety news
|US Government database with lots of information on recalls in convenient database format
|U.K. Recall Notice
|Product safety recalls for the United Kingdom
|Historical US Market Volume Data
|Historical Market Volume Data for the United States
With the financial time series data and the event data described above, you can 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
|Datasets of Prof. Damodoran (Stern, NYC)
|Data Repository at Tuck School of Business
|Returns on Fama and French risk factors