abnormal-returns

Calculate regressions and abnormal returns for large return datasets quickly

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

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

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

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

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.

Bootstrapped skewness-adjusted t-test

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

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.