Instructions Event Study Calculators
Our research apps make it easy to conduct an event study and calculate the associated test statistics. Since there are three broad types of event studies (i.e., return, volume and volatility event studies), we offer three research apps. We label them as a group "Event Study Calculators" and individually as Abnormal Return Calculator (ARC), Abnormal Volume Calculator (AVC), and Abnormal Volatility Calculator (AVyC). Return event studies are by far the most common type of event study used and published. Hence, the Abnormal Return Calculator (ARC) is most likely the tool you are searching for. For users that only need ARs and t-statistics based on the market model, we offer a simplified basic ARC.
The rest of this pgae describes in full detail how to use each of these research apps. If want to perform a return event study, our recent Medium blog post "How to perform a Return Event Study with EventStudyTools" (3 min read) may serve you well as a complementary and easily accessible reading.
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 server-side 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 ZIP-compress them prior to your upload.
Figure 1: Event Study Workflow of EventStudyTools
To create the required firm an market data files, you need to retrieve data from a financial data website (e.g., Yahoo!Finance or Quandl) and transform it into the format required by our research apps. Table 1 describes the data structures you must ensure for the files that you upload to our abnormal return calculators. The following example files
may serve as templates when constructing your own files. Alternatively to constructing your files by yourself, you may use our firm and market data files compilation service.
We recommend you to use our regular Abnormal Return Calculator is for academic studies, and the simplified basic ARC for purposes that do not require test statistics. The two variants are further compared in Table 2, which refers to them as aARC (for advanced ARC) and bARC (for basic ARC). Table 3 describes the structures of the ARCs' output files. Further down on this instruction page, you will find similar descriptions of in- and outputs for the AVC and the AVyC in Tables 4 to 7.
| CSV | benchmark model | Items to Be Included (To BE Separated by a Semicolon ) |
|---|---|---|
| Request File | Same structure for all models | 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 | 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 |
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 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.
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 | log-returns | AR | AR t-test | no auto-adjustment | prompted to screen |
| aARC | market model |
log- or simple returns |
AR, AAR, CAR, CAAR, BHAR |
T-tests, Patell-test, Adjusted Patell-test, BMP-test, Adjuted BMP-test, Cowan GSIGN-test, Corrado Rank-test, GRANK-t-test, GRANK-z-test, Skewness adjusted test |
optional auto-adjustment (earlier/later) | prompted to screen, e-mail 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 AR-level only (i.e., abnormal returns and their corresponding t-values, 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 CAAR-level.
| App | Output file | Items Reported (SEPARATED BY A SEMICOLON) |
|---|---|---|
| bARC | Analysis Results | Event ID; ...; AR(-1); AR(0); AR(1); ...; t-value [AR(-1)]; t-value [AR(0)]; t-value [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); ...; 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 |
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 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 |