Calculate regressions and abnormal returns for large return datasets quickly
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Feb 16, 2024 - Julia
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abnormal-returns
Here are 9 public repositories matching this topic...
Benchmark-relative analysis of ASML abnormal returns using semiconductor, equity, FX, volatility, and rates drivers.
python time-series risk-analysis market-risk semiconductor abnormal-returns financial-markets equity-analysis
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Apr 11, 2026 - Jupyter Notebook
Событийное исследование индексного эффекта на Московской бирже: что происходит с ценой и ликвидностью акции при включении в индекс IMOEX и исключении из него
python finance reproducible-research pandas stock-market econometrics statsmodels causal-inference abnormal-returns moex event-study difference-in-differences placebo-test market-model index-effect imoex
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Sep 21, 2026 - Python
NLP-based textual similarity and sentiment analysis of ECB press conference speeches (1999–2024) using bigrams, Jaccard index, and tone measures, combined with event-study regressions and CAPM-based abnormal return estimation to evaluate communication impacts on financial markets
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Oct 3, 2025
Bootstrapped skewness-adjusted t-test
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Aug 11, 2016 - R
Cross-country, cross-industry event study (CAPM AR/CAR) of 5 major macro events across 11 industries in UK/US/China markets. Tsinghua SEM project.
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Jul 23, 2026 - Python
Free sample of the FlinchLab SEC 8-K market-reaction dataset: how each kind of company news historically moved the stock. Full release at flinchlab.com/dataset
finance dataset stock-market quantitative-finance financial-data abnormal-returns sec edgar event-study sec-filings
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Aug 19, 2026
This project analyses the effect of the acquisition announcement on the acquiring companies’ stock returns by computing abnormal and cumulative abnormal returns.
r-programming abnormal-returns stock-market-analysis event-study mergers-and-acquisitions efficient-market-hypothesis fama-french-3-factor market-model
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Feb 7, 2026
Event-study analysis of the 2022 Russia-Ukraine war across five global stock-market sectors (CAR, market-model OLS, bootstrap). Tsinghua course project.
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Jul 23, 2026 - Jupyter Notebook
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