Instructions Event Study Calculators

Our suite of advanced "Event Study Calculators (AXC)" makes it easy to conduct event studies and calculate the associated test statistics. Given that there are three types of event studies, notably 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). The calculators are self-service and can be put to work with the workflow described and illustrated below and in our Medium article on "How to perform a Return Event Study with EventStudyTools" (3 min read).

The 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. Our basic ARC remains your free option for basic return event study without test statistics.

Figure 1: Event Study Workflow of EventStudyTools

event study workflow

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.

 

Table 1: Structure of Input Files to Trigger ARC

CSV BENCHMARK MODEL ITEMS TO BE INCLUDED (TO BE SEPARATED BY A SEMICOLON )
Request File Same structure for all models Event ID1; Firm ID1; Market ID1; Event Date2; Grouping Variable3; Start Event Window4; End Event Window4; End of Estimation Window4; 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

1Please use integer values for the event IDs; make sure each line in your request file holds a unique ID. There is no specific format you have to follow for firm and market IDs; just make sure that the identifiers you use in the firm and market data CSVs match the ones you use in the analysis request CSV.
2The dates you provide, however, 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.
3For 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 choice study), AXC will produce average values across the events grouped by these values.
4These variables hold figures relative to the event date. ‘Start Event Window’ and ‘End Estimation Window’ are before 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.
A file size limit of approx. 5MB per input file applies.

 

Table 2: Structure of ARC Output Files

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); ...
N(Grouping variable, AAR(i)); ...; N(AAR(-1)); N(AAR(0)); N(AAR(1)); ...
Pos:Neg(Grouping variable, AAR(i)); ... ; Pos:Neg(Grouping variable, AAR(-1)); Pos:Neg(Grouping variable, AAR(0)); Pos:Neg(Grouping variable, AAR(1)); ...
+ per AAR(i): Patell Z, Generalized Sign Z, Csect T, StdCSect Z, Rank Z, Generalized Rank T, Adjusted Patell Z, Adjusted StdCSect Z, Generalized Rank Z, Skewness Corrected T

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

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Table 3: AVC Input Files

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


Table 4: AVC Output Files

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); ...
N(Grouping variable, AAV(i)); ...; N(AAV(-1)); N(AAV(0)); N(AAV(1)); ...
Pos:Neg(Grouping variable, AAV(i)); ... ; Pos:Neg(Grouping variable, AAV(-1)); Pos:Neg(Grouping variable, AAV(0)); Pos:Neg(Grouping variable, AAV(1)); ...
+ per AAV(i): Patell Z, Generalized Sign Z, Csect T, StdCSect Z, Rank Z, Generalized Rank T, Adjusted Patell Z, Adjusted StdCSect Z, Generalized Rank Z, Skewness Corrected T

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

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Table 5: AVyC Input Files

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


Table 6: AVyC Output Files

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); ...
N(Grouping variable, AAV(i)); ...; N(AAV(-1)); N(AAV(0)); N(AAV(1)); ...
Pos:Neg(Grouping variable, AAV(i)); ... ; Pos:Neg(Grouping variable, AAV(-1)); Pos:Neg(Grouping variable, AAV(0)); Pos:Neg(Grouping variable, AAV(1)); ...
+ per AAV(i): Cross-Sectional-Vy-t-Test, Cross-Sectional-Corrected-Vy-t-Test, Cross-Sectional-AR-t-Test, Cross-Sectional-Corrected-AR-t-Test

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

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