eventstudy 0.1a1

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

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

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.