Everything you need to run and report an event study.

Code and packages

Open-source wrappers on GitHub run the same engine as the browser apps from your language of choice. API keys are free for academic researchers and requested at API access; the protocol itself is documented on the API page.

• R: the full EventStudy package with the RStudio add-in, or the lightweight r-wrapper
• Stata (repo) · MATLAB (repo) · SAS (repo)
• Python · PHP, straight from the repos
• Excel: spreadsheet-based methodology walkthrough (no API wrapper)
• A full event study in R and in Python, step by step

Worked examples and tutorials

• An M&A announcement, worked end to end
• Interpreting CAAR and the Patell Z
• Choosing a return model
• Difference-in-differences event studies
• S&P 500 reconstitution and Dieselgate, in R

Data sources

Where to get prices, factors, and event data, with the institutional options too. See the full list on data sources.

Reference

• Glossary, every core term in plain language
• Significance tests with full formulas, and expected-return models
• Bibliography · FAQ · How to cite