FIG 0.1
The history
One year of prices for the stock and its benchmark index, before the news.
Event study
We learn how the stock usually follows its market (its β), derive the price it would have had without the news, then compare it with the actual price.
Past earnings releases · tap one to use its reaction day
A statistical calculation tool based on past data. It is in no way an investment recommendation.
Example · every stock that joined the S&P 500
FIG 0.1
One year of prices for the stock and its benchmark index, before the news.
FIG 0.2
How sensitive the stock usually is to its market: the β.
FIG 0.3
The gap between the actual price and the no-news price, and whether it beats ordinary noise.
Move vs. the market model · 15 trading days before → after
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Past data · abnormal returns vs. the market · not a forecast
What it says
Tap one to see the full calculation for that day.
Reaction after the news
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Abnormal = gap to what the market model predicted. Scroll down to see each calculation step.
Step 1 · Data
Step 2 · Linear regression (market model)
Step 3 · β projection
Step 4 · Abnormal returns and significance test
Good to know
Technical details
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