Apps for event studies and news analytics

EventStudyTools helps you perform event studies and news analytics analyses. Its research apps calculate for you all metrics needed for scientific publications - be it for return, volume, or volatility event studies focussed on single or multiple events.

You can access the research apps online on this website or locally via an R-package and application programming interface (API) .

The EventStudyTools website further provides reviews of corresponding academic literature, access to event study experts, and ideas on meaningful academic and business applications.

Event Study Tools
 

Use our Award-winning research apps!

Explore how you can make your research more innovative with our research apps and review publications that cite us on Google Scholar - such as this A+ ranked article.

Join the scholars who have saved countless hours of coding by having used EventStudyTools' research apps 134393 times.

 

Why our research apps

  • Easy to use, no coding required
  • All the metrics you need to get published
  • Proven in a large number of publications
  • Multi-channel: web/graphical user interface, R-package, and direct API 
  • Full privacy. No personal data is stored: Payments are processed by Stripe and only the hash value of your email is stored by us as your access key
  • Free basic abnormal return calculator (bARC) to try out the process
  • Fairly priced advanced calculators with one-off payments only - we do not do subscriptions / recurring payments
  • Free student access for whitelisted institutions

Watch the Chinese version of this introduction on youtube.

 

Features of abnormal return calculator

  • Ideal for sample studies - with one analysis, you can study a large number of events at different dates and cluster them by sub-groups
  • Large choice of expected return models, including the market model and various multi-factor models
  • Test statistics at the AR, CAR, AAR, and CAAR levels
  • P values to all test statistics to assess significance levels
  • Benchmarked against other tools and papers to validate the correctness of our return calculations and test statistics
  • Automatic adjustments for non-trading event dates, for example to the subsequent trading day
  • Choice between simple and log returns
  • Data file compilation service to help you create your input data files
Models
  • Market Model
  • Market Adjusted
  • Comparison Period Mean Adjusted
  • Capital Asset Pricing Model (CAPM)
  • Fama-French 3 Factor Model
  • Fama-French-Momentum 4 Factor Model
  • Fama-French 5 Factor Model
Test Statistics
  • T Test
  • Cross-Sectional T
  • Crude Dependence Adjustment T
  • Patell Z
  • Adjusted Patell Z
  • BMP/Standardized Cross-Sectional Test
  • Adjusted Standardized Cross-Sectional Test
  • Skewness Corrected
  • Rank Z
  • Generalized Rank Z
  • Generalized Rank T
  • Sign Z
  • Generalized Sign Z
  • Wilcoxon
Other Features
  • Automatic non-trading day adjustments
  • Choice between simple and log-returns
  • Optional data file creation service
 

Workflow for an event study when using our web interface

Performing event studies with EventStudyTools is simple. You only need to parameterize your analysis and upload the respective financial data, which you can retrieve at one of the free financial data providers (e.g., Yahoo!Finance). Figure 1 illustrates this basic workflow. We offer three event study research apps: An abnormal return calculator (ARC) for return event studies, an abnormal volume calculator (AVC) for event studies that investigate abnormal trading volumes, and an abnormal volatility calculator (AVyC) for event studies that investigate volatilities. The calculators give you all test statistics needed for publishing your research.

Eventstudy analysis
 

News Analytics

News analytics describes the analysis of news streams aimed at turning news into quantitative metrics and time-series. As a quantitative research approach, news analytics can be well combined with event studies that capture the market responses to the corresponding news. This combination of methods also has practical applications, such as news-based trading or peer group monitoring. The below figure illustrates the news analytics capabilities available to you on EventStudyTools.

News analytics