Expert Dialog


I would like to use EventStudyTools for volume eventstudy.

The market data required "mean of log percentage of trading volume of index".

Could you advise me how to derived the value from raw data "volume of index".

thank you

Answer by Dr. Simon Müller:
There is no easy way to get the volume of an index. You have to get the volumes of all companies from that index and then merge it into one variable.
Question #44: Should I use Market Model( OLS ) or Market Model ( Garch)?

Dear Professor,

I conduct ARCH effect tests on the firms in my samples, and find that around half of the firms has significant ARCH effect, while the other half has no ARCH effect.

I wonder which model I should use. The Market Model or the GARCH Model?

Best wishes,

Answer by Dr. Simon Müller:
Hi. I would generally advice to use the GARCH model, as this model can handle volatility changes.
Question #43: T Value for abnormal return

My event day is different but firms are from different industry so can i divide abnormal return by Standard error for finding the t value or Is there any other method.

Answer by Dr. Simon Müller:
Please read our test statistics page: There you find an answer to your question.
Question #42: Standardized abnormal return

Dear Mr Muller,

I'm conducting an event study analysis and I would like to use the BPM test. My question is how can I calculate the sARi,t (standard deviation)? Is there one for every company at every t?
I hope you can help me and solve my doubt.
Thank you very much.

Best regards,

Answer by Dr. Simon Müller:
Hi Francesco, if you look at the definition in our documentation, you will see that there is an exact definition of all variables used. Many definitions of the BMP test formulas are in the description of the Patell test. Simon 
Question #41: Multiple Event Windows

How to prepare the request sheet when looking at more than 1 event window? The sample request sheet is only calculating 1 event window.

Eric Romero

Answer by Dr. Markus Schimmer:
You treat this second event window as an individual observation - meaning, you add another line to the request sheet and calculate the other event window. 
Question #40: Alfa Beta in aARC

In have one question what are alfa and beta in Analysis Report. I know what they mean if I use Market Model



I don't know what Alfa and Beta are in FamaFrench 3 Factor Model


Could you help me and explain this?


Answer by Dr. Simon Müller:
Hi. You may write the model as: R_it = alpha + beta * R_im + s_i * SMB_t + h_i + epsilon_it. Then it should be clear what alpha and beta is. Simon
Question #39: AR CAR signifiance tests

Hi, I'am Eray. I'am phd student.

My thesis field is price manipulation. Manipulation period is more than one day. So, event date is (5, 20. 45, 100, 250 etc). For example, a company's manipulation period is start 03.08.2000 and end 14.12.2000. (03.08.2000-14.12.2000) As seen 95 day manipulation period.

I want to calculate each company for pre-manipulation, manipulation and post-manipulation period cumulative abnormal return. My estimation period, before 03.08.2000 100 trading day.

Estimation period pre-man manip period post-manip
100 trading day -30 day 95 day + 30 gün

What can I do? I want to buy ESM. Can I calculate?

Answer by Dr. Simon Müller:
ESM? You can do this with our tool for free (just one citation in you thesis). Please contact me per email (
Question #38: Testing for AAR and CAAR

Dear Dr. Müller

Brown and Warner (1985) suggest calculating the t-value as the ratio of the AAR to its estimated standard deviation from the estimation period. Is this appropriate? And don't I have to multiply it by the square root of N as your your significance test formula shows?

Furthermore, they also suggest calculating the test statistic over a interval as the ratio of CAAR to its estimated standard deviation. How can I calculate the standard deviation of the CAAR?

Thank you for your help.

Answer by Dr. Simon Müller:
There are different ways to write the formula. You can use AAR in the numerator or the sum over the AR. Depending on that definition you get different loooking formulas. 
Question #37: EVENT STUDY

Hi, I have a question about using free event study which is available on the website. the problem is that when I use a credit rating base index as the market price and I have 5 broad categories for the market price in each day.My problem is that I don't know how to list the five market price for each date in the Market data file and how to clarify it clarify my firm dataset and request file? I cannot understand what is the variable group in request dataset.
I already have the file for abnormal return and I just want to use this file to calculate t statistic, is there any simple way for that?
could you please help me to solve this issue?

Answer by Dr. Simon Müller:
Both request data files are in the long format as described on So firms are identified by the first column, dates by the second, and on the third you put the closing price. For the market data you have in the first column the market index indentifier, on the second the date and on the third the closing price. You can calculate test statistics with our free web tool.
Question #36: Application Error


I try to run your AR calculator with your sample data. It doesn't work: I got an Application error message ???


Answer by Dr. Simon Müller:
Possibly your data is wrong formatted.