Instructions Event Study Calculators
Our advanced "Event Study Calculators (AXC)" simplify the use of event studies and the calculation of the associated test statistics. With return, volume, and volatility event studies, there are three types of event studies. We offer a matching set of three calculators: the Abnormal Return Calculator (ARC), the Abnormal Volume Calculator (AVC), and the Abnormal Volatility Calculator (AVyC). All calculators are selfservice and function as illustrated in the below workflow picture, Figure 1. We also wrote an article about how to perform a Return Event Study with EventStudyTools  it is hosted on the Medium website, which will read the text aloud in case you prefer voice.
The event study calculators ask you to upload three files that contain all the data and information needed for your event study. Statistical analyses are then performed serverside and you receive the analysis results as attachments to an email. 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 should upload the files in CSV file format (standard, not UTF8) or xls, xlsx. In case of large data, you may ZIPcompress your files. For creating the firm and market data files, you need financial data, which you can retrieve either from a financial data website (e.g., Yahoo!Finance) or from our firm and market data files compilation service (for ARC only).
Access to AXC calculators is provided for a period of one month. You get directed to the payment provider, Stripe, when trying to use ARC, AVC, or AVyC for the first time or can subscribe here. We whitelist your email, which then serves as your unlimited access pass to the AXC calculators (i.e., ARC, AVC, and AVyC). Just enter it for results delivery at any of the event study calculators to receive the analysis results. Our basic ARC is your free option for basic return event study without test statistics and pvalues.
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. Variants for the CAPM and the FamaFrench 3, 4, and 5factor models.
 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 ID^{1}; Firm ID^{1}; Market ID^{1}; Event Date^{2}; Grouping Variable^{3}; Start Event Window^{4}; End Event Window^{4}; End of Estimation Window^{4}; Estimation Window Length 
Firm Data  Same structure for all models  Firm identifier; Date; Closing price 
Market Data 
All models but factor models (i.e., CAPM, Fama French 3, 4, and 5 Factor Models) 
Market identifier; Date; Closing price 
FamaFrench 3Factor Model  Market identifier; Date; Closing price; Rf^{5}; smb; hml  
FamaFrench Momentum4Factor Model  Market identifier; Date; Closing price; Rf^{5}; smb; hml; umd 
^{1}Please 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.
^{2}The dates you provide, however, need to be in a distinct date format. Please use either YYYYMMDD (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.
^{3}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 choice study), AXC will produce average values across the events grouped by these values.
^{4}These 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.
^{5}When providing the riskfree return, make sure to give the per day value in decimal format as it applies in the market/country you study. See our page on data sources for guidance on where to retrieve this data.
A file size limit of approx. 5MB per input file applies.
APP  OUTPUT FILE  ITEMS REPORTED* (SEPARATED BY A SEMICOLON) 

ARC  AR Results  Event ID; ...; AR(1); AR(0); AR(1); ...; tvalue [AR(1)]; tvalue [AR(0)]; tvalue [AR(1)]; ... 
AAR Results 
Columns: SubSample (as defined by grouping variable); Variables; Days Relative to Events (e.g., 10, 9, ..., 0, 1, ... 10 for a 10 to 10 event window) 

CAR Results  Event ID; Window; CAR Value; CAR ttest  
CAAR Results  Grouping Variable; CAAR Type; CAAR Value; Precision Weighted CAAR Value; ABHAR; pos:neg CAR; Number of CARs considered; CAAR Pattell Z; CAAR ttest; CAAR GSIGNTest; 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 
* test statistics are accompanied by corresponding pvalues
CSV  ITEMS TO BE INCLUDED (SEPARATED BY A SEMICOLON ) 

Request File  Event ID; Firm ID; Market ID; Event Date; Grouping Variable^{2}; Start Event Window^{3}, End Event Window^{3}, End of Estimation Window^{3}, 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); ...; tvalue [AR(1)]; tvalue [AR(0)]; tvalue [AR(1)]; ... 
AAV Results 
Grouping variable; ...; AAV(1); AAV(0); AAV(1); ... 

CAV Results  Event ID; Window; CAV Value; BHAV Value; CAV ttest  
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; AdjustedÂ 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; Firstorder Autocorellation 
CSV  ITEMS TO BE INCLUDED (SEPARATED BY A SEMICOLON ) 

Request File  Event ID; Firm ID; Market ID; Event Date; Grouping Variable^{2}; Start Event Window^{3}, End Event Window^{3}, End of Estimation Window^{3}, 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; pvalue; Beta; pvalue; Gamma; pvalue; Delta; pvalue; H_i; preLambda; postLambda; Abnormal Return on Event Day; Residual Standard Deviation; Expected Stock Return; Autocorellation 