TeX 53.6%
Python 46.2%
1sample,db5,db5_se,db30,db30_se,nd5,nd5_se,n2Full sample,-0.00010361892032959873,0.00008666772099887438,-0.00031036958489829214,0.00009884062544096412,0.006401566893071846,0.00018414652084510394,18062363Post-decimalization (2002+),-0.00010256164058895823,0.00009735346806255975,-0.0003041869269141701,0.00012484485865386688,0.006580935668922202,0.00019648144822639215,15478044Mid-day events (10:00–15:30),-0.00011192906696068329,0.0001041939531126856,-0.0003477949047886314,0.00010722806638341737,0.0064751803542662445,0.00020258310301931462,15903535Ex announcement windows,-0.00012770960538132053,0.00009618026001868768,-0.00034979784378349294,0.00011148374654774298,0.00633353445612045,0.00019154320949600346,15723406"Calm years (ex 2008–09, 2020)",-0.00013452263956711,0.00008686733985076689,-0.00032938231131044793,0.00010038147906195524,0.006361807235243642,0.00019476218763925677,16714507Crisis years only,0.0002689273438480115,0.0005144078454140066,-0.00007889024524858563,0.0006319524236488226,0.006805609602839881,0.0006338803673268645,1347868Source $|z|\ge 8$,0.00006141874138977004,0.00012345886888488644,-0.00016591367997385517,0.00014289093544641527,0.004989169558031399,0.00020880322075423252,11199929Source $|z|\ge 12$,0.00011236933470183201,0.0001450866892363165,0.00003247127638957362,0.00017810187942327482,0.003394185965338856,0.0002284531771510305,73377310Ex non-common tickers,-0.00010374796247568125,0.00009539488571922133,-0.000308036509702445,0.00010568611257998515,0.006399065807200878,0.00018700434723923975,180533311Month-cluster bootstrap,-0.00010361892032959859,0.00009162832527042741,,,0.006401566893071851,0.00034358396656526707,180623612"Placebo events, neighbor diff",,,,,-0.0002709459636011153,0.00028153459126040696,172029213