Single Class

Event Study package’s core object. Implement the classical event study methodology 1 for a single event. This implementation heavily relies on the work of MacKinlay 2.

References

1

Fama, E. F., L. Fisher, M. C. Jensen, and R. Roll (1969). “The Adjustment of Stock Prices to New Information”. In: International Economic Review 10.1, pp. 1–21.

2

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

Run the event study

eventstudy.Single.__init__	Low-level (complex) way of runing an event study.
eventstudy.Single.market_model	Modelise returns with the market model.
eventstudy.Single.constant_mean	Modelise returns with the constant mean model.
eventstudy.Single.FamaFrench_3factor	Modelise returns with the Fama-French 3-factor model.
eventstudy.Single.FamaFrench_5factor	Modelise returns with the Fama-French 5-factor model.

Import data

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.Single.plot	Plot the event study result.
eventstudy.Single.results	Return event study’s results in a table format.