abnormal-returns

Calculate regressions and abnormal returns for large return datasets quickly

Event-study analysis of the 2022 Russia-Ukraine war across five global stock-market sectors (CAR, market-model OLS, bootstrap). Tsinghua course project.

Benchmark-relative analysis of ASML abnormal returns using semiconductor, equity, FX, volatility, and rates drivers.

Bootstrapped skewness-adjusted t-test

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

This project analyses the effect of the acquisition announcement on the acquiring companies’ stock returns by computing abnormal and cumulative abnormal returns.

Событийное исследование индексного эффекта на Московской бирже: что происходит с ценой и ликвидностью акции при включении в индекс IMOEX и исключении из него

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.

Did company-specific news move DSE prices? Event-impact study with a same-firm placebo.

FlinchLab: verified event data from every SEC 8-K, in preparation. Early access opens at the end of November 2026. Version 0.1.1 is retired.