FIG 0.1
The history
One year of prices for the stock and its benchmark index, before the news.
Event study
How much did that news really move the stock?
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 0.2
The regression
How sensitive the stock usually is to its market: the β.
FIG 0.3
The news effect
The gap between the actual price and the no-news price, and whether it beats ordinary noise.
Event Effect
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
Each past case
Tap one to see the full calculation for that day.
Reaction after the news
…
Abnormal = gap to what the market model predicted. Scroll down to see each calculation step.
How it's calculated
Step 1 · Data
One year of prices before the news (base 100)
Step 2 · Linear regression (market model)
How the stock usually follows its market
Step 3 · β projection
Actual price vs. forecast without the news
- Actual price, before / after the window
- Actual price, event window
- Forecast without the news (β × market)
- Hover or tap to read each day
Step 4 · Abnormal returns and significance test
Day by day gap to the forecast
Good to know
Technical details
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