Skip to main content

Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.

Project description

Event Study package

Event Study package is an open-source python project created to facilitate the computation of financial event study analysis.

Install

$ pip install eventstudy

Documentation

You can read the full documentation here.

Go through the Get started section to discover through simple examples how to use the eventstudy package to run your event study for a single event or a sample of events.

Read the API guide for more details on functions and their parameters.

Example

As an introductory example, we will compute the event study analysis of the announcement of the first iphone, made by Steve Jobs during MacWorld exhibition, on January 7, 2007.

import eventstudy as es
import numpy as np
import matplotlib.pyplot as plt

event = es.EventStudy.FamaFrench_3factor(
    security_ticker = 'AAPL',
    event_date = np.datetime64('2013-03-04'),
    event_window = (-2,+10), 
    estimation_size = 300,
    buffer_size = 30
)

event.plot(AR=True)
plt.show() # use standard matplotlib function to display the plot

Single event plot

event.results(decimals=[3,5,3,5,2,2])
AR Variance AR CAR Variance CAR T-stat P-value
-5 -0.053 0.00048 -0.053 ** 0.00048 -2.42 0.01
-4 0.012 0.00048 -0.041 * 0.00096 -1.33 0.09
-3 -0.013 0.00048 -0.055 * 0.00144 -1.43 0.08
-2 0.004 0.00048 -0.051 0.00192 -1.15 0.13
-1 0 0.00048 -0.051 0.00241 -1.03 0.15
0 -0.077 0.00048 -0.128 ** 0.00289 -2.37 0.01
1 -0.039 0.00048 -0.167 *** 0.00337 -2.88 0
2 0.027 0.00048 -0.14 ** 0.00385 -2.26 0.01
3 0.024 0.00048 -0.116 ** 0.00433 -1.77 0.04
4 -0.024 0.00048 -0.14 ** 0.00481 -2.02 0.02
5 0.023 0.00048 -0.117 * 0.00529 -1.61 0.05
...

Play with the interactive interface

A user-friendly interface has been developped using streamlit and can be accessed here.

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Files for eventstudy, version 0.1a1
Filename, size File type Python version Upload date Hashes
Filename, size eventstudy-0.1a1-py3-none-any.whl (36.8 kB) File type Wheel Python version py3 Upload date Hashes View hashes
Filename, size eventstudy-0.1a1.tar.gz (15.0 kB) File type Source Python version None Upload date Hashes View hashes

Supported by

Elastic Elastic Search Pingdom Pingdom Monitoring Google Google BigQuery Sentry Sentry Error logging AWS AWS Cloud computing DataDog DataDog Monitoring Fastly Fastly CDN DigiCert DigiCert EV certificate StatusPage StatusPage Status page