Event studies  ·  News analytics

Rigorous event studies, ready for publication.

Free research apps that compute abnormal returns, abnormal volume, and every test statistic you need for publication, from a single event to a portfolio of thousands. Used in peer-reviewed work since 2014.

Browse research apps → Read the methodology
Free for academic use
Since 2014 peer-reviewed research
Google Scholar → cited worldwide
Supported research by scholars of the following institutions (selection):
Methodology

How event studies work.

The classical MacKinlay (1997) pipeline, with modern extensions for clustering, volatility, and non-parametric inference built in.

  1. t₀
    Define the event
    Pick a ticker, a date, and an event window. ARC defaults to [-10, +10] but accepts anything up to [-250, +250].
  2. E(Rᵢₜ)
    Fit the expected-return model
    Choose market model, CAPM, Fama-French 3 or 5-factor, Carhart 4-factor, or constant mean. Estimation window defaults to [-250, -11].
  3. ARᵢₜ
    Compute abnormal returns
    ARᵢₜ = Rᵢₜ − E(Rᵢₜ). Daily abnormal returns, aggregated cross-sectionally into AAR and cumulatively into CAR and CAAR.
  4. H₀: AAR=0
    Test significance
    Apply parametric (t-test, BMP, Patell) and non-parametric (Corrado rank, generalized sign) tests in parallel.
  5. → .tex
    Publish with confidence
    Export to LaTeX, CSV, or Stata-ready formats. Every output ships with the model spec and test choice for reproducibility.
ARC Capabilities

Everything you need to publish.

Our Abnormal Return Calculator performs the event study for you: all relevant expected-return models and no test statistic left out. Every analysis output ships ready-to-publish.

Expected-return models

  • Market model
  • Constant mean
  • Market-adjusted
  • CAPM
  • Fama-French 3-factor
  • Fama-French 5-factor
  • Carhart 4-factor
  • Comparison period mean

Parametric tests

  • Cross-sectional t
  • Time-series t
  • Patell (standardized)
  • BMP (Boehmer, Musumeci, Poulsen)
  • Standardized cross-sectional
  • Adjusted BMP (Kolari-Pynnönen)

Non-parametric tests

  • Generalized sign
  • Corrado rank
  • Corrado-Zivney
  • Wilcoxon signed-rank
  • Permutation

Output

  • AR · AAR · CAR · CAAR · BHAR
  • p-values at 1 / 5 / 10% levels
  • CSV · Excel export
  • Per-firm diagnostics
  • Email delivery · API
Why our research apps

Built by scholars, for scholars.

A short explainer about what the apps are, who builds them, and how the academic community uses them in publication-grade research.

English
Introduction to EventStudyTools.com

Also available in Mandarin Chinese (中文) on YouTube ↗

The research apps

Four calculators, one research area.

Besides ARC, we provide you with three other research apps that are battle-proven in studying discrete events.

ARC
Most used

Abnormal Return Calculator

Single-event or batch portfolio analysis with the full test-statistic battery and choice of return models.

Return models
Market · CAPM · FF3/5 · Carhart
Test statistics
Parametric + non-parametric
Batch events
Up to thousands
AVC

Abnormal Volume Calculator

Detect unusual trading-volume reactions around corporate events using log-volume and turnover proxies.

Proxies
Log-volume · Turnover
De-drift
Yes
Output
AV · AAV · CAV · CAAV
CATA

Content Analysis Text Analyzer

News analytics: convert news streams and corporate disclosures into quantitative sentiment and tone metrics.

Input
News · Filings · Transcripts
Output
Sentiment · Tone · Readability
Paired with
ARC for event studies
EDI

Event Date Identifier

Algorithmically pin the correct trading day when filings land after hours, on weekends, or on holidays.

Calendars
Multi-market
Rule sets
After-hours · Weekend · Holiday
Output
Adjusted event date
In the literature

Cited in academic research worldwide.

See the Google Scholar results for EventStudyTools →

A technológiai háború nyertesei és vesztesei
Marcell Kovács, Ágnes Szunomár · 2026 · DOI →
Negative Shocks on the US Capital Market and the Rate of Return on Investments in Gold
Marcin Potrykus, Dominika Poręba · 2025 · DOI →
The Impact of Blockchain Security Breaches on Crypto Token Valuation
Zhe Li et al. · 2025 · DOI →

Your next paper starts with one event.

Free via the web UI. Plugins to all major desktop programs via API keys.

Launch ARC → Get API key