Event Study Analysis

Financial event study analysis. Implements the classical event study methodology of MacKinlay (1997) < https://www.jstor.org/stable/2729691> with multiple return models: market model, market adjusted, comparison period mean adjusted, Fama and French three-factor (1993) and five-factor (2015) , Carhart (1997) four-factor , generalized autoregressive conditional heteroskedasticity (GARCH; Bollerslev, 1986) , rolling window, and dynamic conditional correlation GARCH (DCC-GARCH; Engle, 2002) . Provides parametric and non-parametric test statistics, including the standardized cross-sectional test of Boehmer, Musumeci and Poulsen (1991) and its cross-correlation adjustment by Kolari and Pynnonen (2010) ; buy-and-hold abnormal returns (Barber and Lyon, 1997) ; volume and volatility event studies; cross-sectional regression; intraday event studies; panel difference-in-differences event studies with the estimators of Callaway and Sant'Anna (2021) , de Chaisemartin and D'Haultfoeuille (2020) , and Borusyak, Jaravel and Spiess (2024) ; synthetic control methods (Abadie, Diamond and Hainmueller, 2010) ; wild bootstrap inference; multiple testing corrections; power analysis via simulation; data download helpers; automated reporting; and visualization tools. Results can be exported to comma-separated values (CSV), 'Excel', or 'LaTeX'.