Event Study Analysis
Financial event study analysis. Implements the classical event
study methodology of MacKinlay (1997) < https://www.jstor.org/stable/2729691>
with multiple return models: market model, market adjusted, comparison
period mean adjusted, Fama and French three-factor (1993)
and five-factor (2015)
, Carhart (1997) four-factor
, generalized autoregressive
conditional heteroskedasticity (GARCH; Bollerslev, 1986)
, rolling window, and dynamic conditional
correlation GARCH (DCC-GARCH; Engle, 2002) .
Provides parametric and non-parametric test statistics, including the
standardized cross-sectional test of Boehmer, Musumeci and Poulsen (1991)
and its cross-correlation adjustment by
Kolari and Pynnonen (2010) ; buy-and-hold abnormal
returns (Barber and Lyon, 1997) ;
volume and volatility event studies; cross-sectional regression; intraday
event studies; panel difference-in-differences event studies with the
estimators of Callaway and Sant'Anna (2021)
, de Chaisemartin and D'Haultfoeuille
(2020) , and Borusyak, Jaravel and Spiess (2024)
; synthetic control methods (Abadie, Diamond
and Hainmueller, 2010) ; wild bootstrap
inference; multiple testing corrections; power analysis via simulation;
data download helpers; automated reporting; and visualization tools.
Results can be exported to comma-separated values (CSV), 'Excel', or
'LaTeX'.