Instructions Abnormal Effect Calculators
Performing an event study is very easy with our research apps. We offer three abnormal effect calculators (AXCs) that provide you with the full range of test statistics common to the three event study types return event study, volume event study, and volatility event study. For investigating abnormal stock returns, use our Abnormal Return Calculator (ARC)  note: our simplified basic ARC is the quickest route to ARs and tvalues. For studying stocks' abnormal trading volumes, use our Abnormal Volume Calculator (AVC). And for exploring an event's effects on a stock's volatility, use our Abnormal Volatility Calculator (AVyC).
All calculators work in a similar manner and require 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 (see Figure 1 for the 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 any of the following formats: xls, xlsx, csv. You can also choose to ZIPcompress them prior to your upload.
Figure 1: Event Study Workflow of EventStudyTools
You can retrieve the required financial data freeofcharge at any of the major financial news portals, such as Yahoo!Finance. If you want to retrieve data for multiple stocks at once, e.g., as needed for a sample event study, you may use this retrieval makro and save time with your data download. Table 1 describes the data structure of the files you need provide to the AXCs. If you want to use the CSV file format, please use the semicolon as delimiter. Table 2 compares the two abnormal return calculators, and Table 3 describes their outputs. The following example files may assist you in the construction of your files. Similar descriptions of the in and outputs for AVC and AVyC are provided at the end of this page (Tables 4 and 5).
CSV  benchmark model  Items to Be Included (Separated by a Semicolon ) 

Request File  Same structure for all models  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  Same structure for all models  Firm identifier; Date; Closing price 
Market Data 
All models but FamaFrench models 
Market identifier; Date; Closing price 
FamaFrench 3Factor Model  Market identifier; Date; Closing price; Rf; smb; hml  
FamaFrench Momentum4Factor Model  Market identifier; Date; Closing price; Rf; smb; hml; umd 
^{1 }Formats of input variables: Please use integer values as firm and market identifiers. The identifiers in the request file must be unique. There is no specific format you have to follow; 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. 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.
^{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’ typically lie 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  Available Return Models  Return Calculation  Result Levels  Test Statistics  Non Trading Day Adjustment  Results Delivery 

bARC  market model  logreturns  AR  AR ttest  no autoadjustment  prompted to screen 
aARC  market model 
log or simple returns 
AR, AAR, CAR, CAAR, BHAR 
Ttests, Patelltest, Adjusted Patelltest, BMPtest, Adjuted BMPtest, Cowan GSIGNtest, Corrado Ranktest, GRANKttest, GRANKztest, Skewness adjusted test 
optional autoadjustment (earlier/later)  prompted to screen, email delivery 
The results of your event studies are delivered to you in CSV files. Depending on the ARC you use, a different set of CSV files is prompted to you (see Table 3). bARC provides you with very basic results at the ARlevel only (i.e., abnormal returns and their corresponding tvalues, as well as the coefficients and values used/generated in the calculation). aARC, instead, will provide you more comprehensive results at the AR, AAR, CAR, and CAARlevel.
App  Output file  Items Reported (Separated by a Semicolon) 

bARC  Analysis Results  Event ID; ...; AR(1); AR(0); AR(1); ...; tvalue [AR(1)]; tvalue [AR(0)]; tvalue [AR(1)]; ... 
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  
aARC  AR Results  Event ID; ...; AR(1); AR(0); AR(1); ...; tvalue [AR(1)]; tvalue [AR(0)]; tvalue [AR(1)]; ... 
AAR Results 
Grouping variable; ...; AAR(1); AAR(0); AAR(1); ... 

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 
Notes applicable to ARC results:
+ If you encounter very large numbers in your results, open the results CSV in NotePad; Excel sometimes fails in displaying numbers with multiple decimals.
Trigger bARC now  Trigger aARC now
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 