Instructions Event Study Calculators
Our suite of advanced "Event Study Calculators (AXC)" make it easy to conduct an event study and calculate the associated test statistics. Since there are three broad types of event studies, return event studies, volume event studies and volatility event studies, we offer three calculators: the Abnormal Return Calculator (ARC), the Abnormal Volume Calculator (AVC), and the Abnormal Volatility Calculator (AVyC). In terms of usability, all event study calculators have the same workflow, which is described below and in our recent Medium article "How to perform a Return Event Study with EventStudyTools" (3 min read).
Our event study calculators require you to upload three files that contain all the data and information needed for your event study. Statistical analyses are then performed server-side and you receive the analysis results as attachments to an email (see Figure 1 for an illustration of this workflow). As for your input, you need to provide an 'analysis request file' that specifies your analysis parameters, a 'firm data file' which holds the firm financial data that is required for your analysis, and a 'market data file' that holds the respective capital market data. You can upload the files in xls, xlsx, and csv (standard, not UTF-8) file formats, either uncompressed or ZIP-compressed. For creating the firm an market data files, you need financial data, which you can retrieve either from a financial data website (e.g., Yahoo!Finance or Quandl) or through our firm and market data files compilation service (for ARC only).
Lifetime access to the AXC calculators comes at one-off costs of 5 USD. You get directed to the payment provider (Stripe) when trying to use ARC, AVC, or AVyC for the first time. With concluding the payment process, your email address will automatically become whitelisted. It then serves as your unlimited access pass to the AXC calculators (i.e., ARC, AVC, and AVyC). Just continue to enter it for results delivery at any of the event study calculators. The basic ARC is your free option for market-model based return event studies without test statistics. Give it a try and famliarize yourself with the functioning of our tools.
Figure 1: Event Study Workflow of EventStudyTools
Your three input files must comply with a certain internal structure so that our event study calculators can process these files. As per your planned event study type (i.e., return, volume, or volatility event study), this structure is different. Please find below tables that describe the required input file structures. Further, please find tables that describe the provided output files.
- For the Abnormal Return Calculator (ARC), tables 1 and 2 describe the structures of the in- and output files. The following example ARC input files
may help as templates when constructing your own input files. - For the Abnormal Volume Calculator (AVC), tables 3 and 4 describe the structures of the in- and output files. The following example AVC input files may help as templates when constructing your own input files.
- For the Abnormal Volatility Calculator (AVyC), tables 5 and 6 describe the structures of the in- and output files. The following example AVyC input files may help as templates when constructing your own input files.
| CSV | BENCHMARK MODEL | ITEMS TO BE INCLUDED (TO BE SEPARATED BY A SEMICOLON ) |
|---|---|---|
| Request File | Same structure for all models | Event identifier; Firm identifier; Market identifier; Event Date; Grouping Variable2; Start Event Window3; End Event Window3; End of Estimation Window3; Estimation Window Length |
| Firm Data | Same structure for all models | Firm identifier; Date; Closing price |
| Market Data |
All models but Fama-French models |
Market identifier; Date; Closing price |
| Fama-French 3-Factor Model | Market identifier; Date; Closing price; Rf; smb; hml | |
| Fama-French Momentum-4-Factor Model | Market identifier; Date; Closing price; Rf; smb; hml; umd |
1Formats of input variables: Please use standard letters and/or integer values as firm and market identifiers and make sure that the identifiers you use in the firm and market data CSVs match the ones you use in the analysis request CSV. The event identifiers in the request file (first column) must be unique, use a consecutive numbering. The dates you provide need to be in a distinct date format. Please use either YYYY-MM-DD (default of Yahoo!Finance) or DD.MM.YYYY (Excel default in many countries). If you should use a date format different from these two, the ARC will prompt an error message in its report. As for the decimal separator, please use a dot, not a comma.
2 For generating the 'average' values in your analysis (i.e., AAR and CAAR values as produced by aARC), you need to specify the 'grouping variable'. If you use only one value in the grouping variable, which is the default case, AXC will calculate the average values across all events in your request file; if you choose more than one value (e.g., 'acquisition' and 'divestiture' in a boundary choise study), AXC will produce average values across the events grouped by these values.
3 These variables hold figures relative to the event date. ‘Start Event Window’ and ‘End Estimation Window’ are before of the event date therefore must have a negative sign or be zero. Ranges of allowed values: ‘Start Event Window’: [-50, 0]; ‘End Event Window’: [0, 50]; ‘End Estimation Window’: [-unlimited, -1]; you may choose any (positive) length of the estimation window.
| APP | OUTPUT FILE | ITEMS REPORTED (SEPARATED BY A SEMICOLON) |
|---|---|---|
| ARC | AR Results | Event ID; ...; AR(-1); AR(0); AR(1); ...; t-value [AR(-1)]; t-value [AR(0)]; t-value [AR(1)]; ... |
| AAR Results |
Grouping variable; ...; AAR(-1); AAR(0); AAR(1); ... |
|
| CAR Results | Event ID; Window; CAR Value; CAR t-test | |
| CAAR Results | Grouping Variable; CAAR Type; CAAR Value; Precision Weighted CAAR Value; ABHAR; pos:neg CAR; Number of CARs considered; CAAR Pattell Z; CAAR t-test; CAAR GSIGN-Test; CAAR BMP; CAAR GRANK T; CAAR adjusted Patell; CAAR adjusted BMP; CAAR GRANK Z; CAAR skewness adjusted T; ABHAR T; ABHAR skewness adjusted T | |
| Analysis Report | Event ID; Firm; Reference Market; Event Date; Analysis Report; Estimation Window Length; End of Estimation Window; First Date Estimation Window; Last Date Estimation Window; Actual Stock Return; Actual Market Return; Alpha; Beta; Residual Standard Deviation; Expected Market Return |
| CSV | ITEMS TO BE INCLUDED (SEPARATED BY A SEMICOLON ) |
|---|---|
| Request File | Event ID; Firm ID; Market ID; Event Date; Grouping Variable2; Start Event Window3, End Event Window3, End of Estimation Window3, Estimation Window Length |
| Firm Data | Firm identifier; Date; number of shares traded; outstanding share of firm |
| Market Data |
Market identifier; Date; mean of log percentage of trading volume of the index |
| APP | OUTPUT FILE | ITEMS REPORTED (SEPARATED BY A SEMICOLON) |
|---|---|---|
| AVC | AV Results | Event ID; ...; AR(-1); AR(0); AR(1); ...; t-value [AR(-1)]; t-value [AR(0)]; t-value [AR(1)]; ... |
| AAV Results |
Grouping variable; ...; AAV(-1); AAV(0); AAV(1); ... |
|
| CAV Results | Event ID; Window; CAV Value; BHAV Value; CAV t-test | |
| CAAV Results | Grouping Variable; CAAV Type; CAAV Value; Precision Weighted CAAV Value; ABHAR; pos:neg CAV; Number of CAVs considered; Patell Z; Csect T; Generalized Sign Z; StdCSect Z; Rank Z; Generalized Rank T; Adjusted Patell Z; Adjusted StdCSect Z; Generalized Rank T; Skewness Corrected T; ABHAR Csect T; ABHAR Skewness Corrected T | |
| Analysis Report | Event ID; Firm; Reference Market; Event Date; Analysis Report; Estimation Window Length; End of Estimation Window; First Date Estimation Window; Last Date Estimation Window; Actual Stock Volume; Actual Market volume; Alpha; Beta Residual Standard Deviation; Expected Market Return; First-order Autocorellation |
| CSV | ITEMS TO BE INCLUDED (SEPARATED BY A SEMICOLON ) |
|---|---|
| Request File | Event ID; Firm ID; Market ID; Event Date; Grouping Variable2; Start Event Window3, End Event Window3, End of Estimation Window3, Estimation Window Length |
| Firm Data | Firm identifier; Date; Closing price |
| Market Data |
Market identifier; Date; Closing price |
| APP | OUTPUT FILE | ITEMS REPORTED (SEPARATED BY A SEMICOLON) |
|---|---|---|
| AVC | AVy Results | |
| Event ID; ...; AVy(-1); AVy(0); AVy(1); ...; | ||
| AAVy Results |
Grouping variable; ...; AAVy(-1); AAVy(0); AAVy(1); ... |
|
| Analysis Report | Event ID; Firm ID; Reference Market; Event Date; Analysis Report; Estimation Window Length; End of Estimation Window; First Date Estimation Window; Last Date Estimation Window; Alpha; p-value; Beta; p-value; Gamma; p-value; Delta; p-value; H_i; preLambda; postLambda; Abnormal Return on Event Day; Residual Standard Deviation; Expected Stock Return; Autocorellation |