Research Apps

Four free apps to measure how markets react.

Upload your data, pick a model, and get abnormal returns, volume, or news signals with publication-grade test statistics. No licence, no SAS, no CRSP subscription. Run them in the browser or call the engine programmatically.

Sections

The four apps

Each app takes a firm-data file, a market-data file, and a list of events, then returns a results bundle you can download or receive by email. They share the same input format, so once you can run one you can run them all.

  • ARC, the Abnormal Return Calculator. The core app. Computes abnormal returns, cumulative and average abnormal returns, and 16 significance tests, with a choice of expected-return models (market model, market-adjusted, CAPM, Fama-French 3/4/5, Carhart).
  • AVC, the Abnormal Volume Calculator. Measures abnormal trading volume around an event, a signal of informed trading and investor attention.
  • CATA, the Content Analysis Text Analyzer. Turns news, filings, and transcripts into quantitative features such as tone and topic frequency. The news-analytics pillar that no other free tool offers.
  • EDI, the Event Date Identifier. Helps locate the date the market first learned of an event, the single most important input to a clean study.

Which app do I need

  • Measuring a price reaction (the standard event study) is ARC
  • Measuring a change in trading activity is AVC
  • Scoring the news or text around an event is CATA
  • Not sure exactly when the event hit the market is EDI
  • New to the method first: read the methodology hub, then come back to run it

How a run works

  1. Prepare three inputs. A firm-data file, a market-data file, and a request file listing your events. The file compiler builds them from standard sources, or start from the sample files in the app.
  2. Configure the run. Choose the expected-return model, the estimation and event windows, and the test statistics. See the ARC instructions for each option.
  3. Get results. Download or receive by email a bundle with abnormal returns, aggregates, and test statistics, ready for your tables. Hit a snag: error handling walks through the common data issues.

Programmatic access

The calculation engine behind the apps is also available as a JSON-RPC API, with open-source wrappers on GitHub for six languages:

The API needs a key: academic researchers can request a free one-month key with a university email at API access. The browser apps above need no key and no setup.

Where to go next