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 self-service 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 server-side 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 UTF-8) or xls, xlsx. In case of large data, you may ZIP-compress 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 p-values.

Figure 1: Event Study Workflow of EventStudyTools

event study workflow

Your three input files must structure your input data in a certain way. Only then can our event study calculators process the files correctly. As per your event study type (i.e., return, volume, or volatility event study) and benchmark model, the required structure is different. Please find below tables that describe for each calculator and benchmark model the required input file structures, as well as the produced result/output files. The following zip archives with sample input files may help you in constructing your own input files: 

Results are presented to you in Excel and TXT file format. Please find a sample output set here. Note that the "Results Table Export"-file at this point only exists for ARC.


In- and output files of the advanced Abnormal Return Calculator (ARC)

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 factor models (i.e., CAPM, Fama French 3, 4, and 5 Factor Models)

Market identifier; Date; Closing price

CAPM Market identifier; Date; Closing price; Rf5
Fama-French 3-Factor Model Market identifier; Date; Closing price; Rf5; smb; hml
Fama-French Momentum-4-Factor Model Market identifier; Date; Closing price; Rf5; smb; hml; umd
Fama-French 5-Factor Model Market identifier; Date; Closing price; Rf5; smb; hml; rmw; cma

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], the event window must be larger than 1 day so that the test statistics can be calculated; ‘End Estimation Window’: [-unlimited, -1]; you may choose any (positive) length of the estimation window.
5When providing the risk-free 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. 
General notes: A size limit of approximately 5MB applies to each input file - you can zip individual files before uploading. Additionally, the GUI can process up to 1k events in a single event study, the API handles up to 4k events. The preferred decimal separator for closing prices is the dot. Once you uploaded the data, be patient as the calculation may require up to several minutes depending on your sample size.

Table 2: Structure of ARC Output Files

OUTPUT FILE ITEMS REPORTED1 (SEPARATED BY A SEMICOLON)
AR Results Event ID; ...; AR(-1); AR(0); AR(1); ...; t-value [AR(-1)]; t-value [AR(0)]; t-value [AR(1)]; ...
AAR Results

Columns: Sub-Sample (as defined by grouping variable); Variables; Days Relative to Events (e.g., -10, -9, ..., 0, 1, ... 10 for a -10 to 10 event window)
Lines: N(as number of ARs considered in average); Pos:Neg (as number of ARs that are positive/negative in sub-sample and corresponding day; Patell Z, Generalized Sign Z, Sign Z, Csect T, StdCSect T, Rank Z, Generalized Rank T, Generalized Rank Z, Adjusted Patell Z, Adjusted StdCSect T, Skewness Corrected T, CDA 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
Results Table Export TXT file formatted in the style of how you will need to present the results in an academic paper.

1Test statistics are reported together with p-values

 Use ARC here


In- and output files of the Abnormal Volume Calculator (AVC)


Table 3: AVC Input Files

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; Start Event Window, End Event Window, End of Estimation Window, Estimation Window Length
Firm Data Same structure for all models Firm identifier; Date; number of shares traded; outstanding share of the firm
Market Data only required for the market model

Market identifier; Date; log of mean percentage of trading volume of the index1

1To calculate this input, take the log of historical market trading volumes (for the US market, find a corresponding source on our data source page)


Table 4: AVC Output Files

OUTPUT FILE ITEMS REPORTED (SEPARATED BY A SEMICOLON)
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

Use AVC here


In- and output files of the Abnormal Volatility Calculator (AVyC)

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

OUTPUT FILE ITEMS REPORTED (SEPARATED BY A SEMICOLON)
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

Use AVyC here