Calculate regressions and abnormal returns for large return datasets quickly
-
Updated
Feb 16, 2024 - Julia
#
abnormal-returns
Here are 7 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
-
Updated
Apr 11, 2026 - Jupyter Notebook
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
-
Updated
Oct 3, 2025
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
-
Updated
Feb 7, 2026
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.
-
Updated
Jul 23, 2026 - Python
Event-study analysis of the 2022 Russia-Ukraine war across five global stock-market sectors (CAR, market-model OLS, bootstrap). Tsinghua course project.
-
Updated
Jul 23, 2026 - Jupyter Notebook
Bootstrapped skewness-adjusted t-test
-
Updated
Aug 11, 2016 - R
Improve this page
Add a description, image, and links to the abnormal-returns topic page so that developers can more easily learn about it.
Add this topic to your repo
To associate your repository with the abnormal-returns topic, visit your repo's landing page and select "manage topics."