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.

Table 1: Data Sources for Event Studies
URL Description
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 Market/environmental events/shocks
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:

Table 2: Data Sources for Regression Analyses
URL Description
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.

Table 3: Further Useful Datasets
URL Description
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