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Event study in finance

By e2er authors

A fork of the empirical template for abnormal-return event studies around announcements: it checks the estimation window and overlapping events before estimation.

In placeIn e2er 0.11.0empiricalevent study
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Input
A research question, event dates, daily returns and your literature
Output
A draft paper with cumulative abnormal returns, a frozen pre-registration, a replication package and a dossier
At the end
When any run ends, e2er builds the PDF, writes the audit trail and the structured export, and pushes to GitHub if you set that up.

Steps

Greyed steps do not run in the selected mode.

  1. 1
    Design review
    Right after the design specialists, before anything else runs: the researcher reads the plan, edits it, gives instructions or sends a specialist back.
    your review
  2. 2
    Event-window check
    Before any model is estimated: the estimation window ends before the event window, with a gap, and is long enough; events do not overlap in their event windows for the same firm or asset unless the design says how overlaps are treated; every event date is a trading day in the data calendar the design names, and the windows fit inside the data.
    check
  3. 3
    Pre-registration
    Question, hypotheses, identification and analysis plan, assembled into preregistration.md and frozen with its fingerprint on approval, still before any estimation.
    your review
  4. 4
    Design, data, estimation and draft
    Plans the paper and dispatches specialists for the literature, data, identification strategy, econometric specification, analysis and drafting.
    Research planLiterature reviewData planIdentification strategyEstimationData and descriptive analysisPaper draft
    specialists
  5. 5
    Improve until it stops getting better
    Further rounds of the strategist, revisiting design and analysis.
    specialists
  6. 6
    Estimation check
    Checks the estimation against the specification declared before it ran. Halts the run on failure.
    check
  7. 7
    Draft review
    The researcher reads the draft after the draft and the estimation gate, before the reviewers read it.
    your review
  8. 8
    Self-critique
    A specialist attacks the paper's own argument and evidence.
    Self-critique
    specialists
  9. 9
    Polish
    Five specialists polish formulas, numbers, institutional detail, equilibria and the bibliography.
    Polish of the formulasPolish of the numbersPolish of the institutional detailPolish of the equilibriaPolish of the bibliography
    specialists, parallel
  10. 10
    Review panel
    Numbers and citations are checked first. Six reviewers (mechanism, technical, literature, data, identification, writing) then score the draft.
    Review of the mechanismTechnical reviewReview of the literatureReview of the dataReview of the identificationReview of the writing
    reviewers, parallel
  11. 11
    Revision
    Revises the draft in response to the reviews, as a full revision and as targeted edits.
    RevisionTargeted corrections
    specialists
  12. 12
    Replication package
    Builds the replication package.
    Replication package
    specialists
Technical details

Template id event-study-finance · file pipelines/event-study-finance.toml, checked against pipeline.schema.json.

StepId in the template fileSpecialists
1. Design reviewreview_design
2. Event-window checkevent_window_gate
3. Pre-registrationpreregister
4. Design, data, estimation and draftinitialidea_developer, literature_scanner, data_architect, identification_strategist, econometrics_specialist, data_analyst, paper_drafter
5. Improve until it stops getting betteriterative
6. Estimation checkestimation_gate
7. Draft reviewreview_draft
8. Self-critiqueself_attackself_attacker
9. Polishpolishpolish_formula, polish_numerics, polish_institutions, polish_equilibria, polish_bibliography
10. Review panelreviewmechanism_reviewer, technical_reviewer, literature_reviewer, data_reviewer, identification_reviewer, writing_reviewer
11. Revisionrevisionrevisor, patch_revisor
12. Replication packagereplicationreplication_packager

At the end (finalize): compile, audit_export, github_push, structured_export. Modes: single_pass, iterative.

More

A fork of the empirical study, pre-registered template. It keeps its steps and adds event-window check. Skills it loads: Financial Event Studies.

Description

Data model
Discipline
Economics
Method family
Empirical (quantitative)
Design
Event study
Research stage
ReviewRevision and editingReplicationResearch questionLiterature synthesisData acquisitionResearch designData analysisDrafting
Authors
e2er authors (Software, Methodology)
Usage
not used in published research yet · Examples: 4 example studies
Source
e2er repository · pipelines/event-study-finance.toml · @v0.11.0
Record
template:event-study-finance · JSON

Solid tags are declared by the source or mapped from its terms; dashed tags are inferred by a published rule. Hover a tag for its provenance.

Versions and evaluations

One version, unreleased

One version so far: pipelines/event-study-finance.toml in e2er 0.11.0. No evaluation records exist yet.

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Cite this template
Persistent identifiers planned 
@software{e2erauthors2026e2ereventstudyinfinancet,
  title   = {e2er event study in finance template},
  author  = {e2er authors},
  year    = {2026},
  note    = {e2er template. Persistent identifier planned},
  url     = {https://e2er.org/templates/event-study-finance}
}

Connectors this template can use

What a run of this template can reach outside your machine, and what each sends out.

FREDLeaves your machine: Queries only Yahoo Finance (yfinance)Leaves your machine: Queries only Global Macro Database (GMD)Leaves your machine: Queries only USGS Earthquake CatalogLeaves your machine: Queries only NASA Exoplanet ArchiveLeaves your machine: Queries only ESA Gaia ArchiveLeaves your machine: Queries only NASA POWERLeaves your machine: Queries only NOAA Climate Data OnlineLeaves your machine: Queries only World Bank Open DataLeaves your machine: Queries only EurostatLeaves your machine: Queries only Our World in DataLeaves your machine: Queries only WHO Global Health ObservatoryLeaves your machine: Queries only Project GutenbergLeaves your machine: Queries only GitHub repository metadataLeaves your machine: Queries only Eurostat GISCO boundariesLeaves your machine: Queries only Natural EarthLeaves your machine: Queries only

Checks on this template

  • ✓Output contracts · Every step produced the artifact it declared, in the declared form
    Required of every template.
  • ✓Execution reliability · Analysis code ran and wrote a parseable, non-empty result
    Required of every template.
  • ○Numbers · Every number in tables and text matches the output of executed code
    Proposed. Proposed for the floor; runs log it but may not block on it.
  • ○Citations · Every reference resolves to an existing publication via OpenAlex, Semantic Scholar or Crossref
    Proposed. Proposed for the floor; runs log it but may not block on it.
  • ○Verbatim passages · Every claim about a source points to a passage found word for word in that source
    Proposed. Proposed for the floor; runs log it but may not block on it.

Runs of this template

No runs yet.

Use it

Install e2er as described on the Install page, then start a run:

e2er run "<your research question>" --template event-study-finance

From e2er 0.11.0. Get started goes from install to publish.

On e2er.org

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