Multiple Class

Implement computations on an aggregate of event studies. Among which cumulative average abnormal returns (CAAR) and its significance tests. This implementation heavily relies on the work of MacKinlay 1.

Basically, this class takes in input a list of single event studies (eventstudy.Single), aggregate them and gives access to aggregate statistics and tests.

Note

All single event studies must have the same specifications (event, estimation and buffer windows). However, the model used for each event study can be different (if needed).

References

1

Mackinlay, A. (1997). “Event Studies in Economics and Finance”. In: Journal of Economic Literature 35.1, p. 13.

Run the event study

eventstudy.Multiple.__init__	Low-level (complex) way of runing an aggregate of event studies.
eventstudy.Multiple.from_csv	Compute an aggregate of event studies from a csv file containing each event’s parameters.
eventstudy.Multiple.from_list	Compute an aggregate of event studies from a list containing each event’s parameters.
eventstudy.Multiple.from_text	Compute an aggregate of event studies from a multi-line string containing each event’s parameters.
eventstudy.Multiple.error_report	Return a report of errors faced during the computation of event studies.

Import data

Note

Returns and factor data are directly imported at the single event study level.

eventstudy.Single.import_FamaFrench	Import Fama-French factors from a csv file to the Single Class parameters.
eventstudy.Single.import_returns	Import returns from a csv file to the Single Class parameters.
eventstudy.Single.import_returns_from_API

Retrieve results

eventstudy.Multiple.plot	Plot the event study result.
eventstudy.Multiple.results	Give event study result in a table format.
eventstudy.Multiple.get_CAR_dist	Give CARs’ distribution descriptive statistics in a table format.
eventstudy.Multiple.sign_test	Not implemented yet
eventstudy.Multiple.rank_test	Not implemented yet