Repository Public Research preview
1{2 "script": "r3k_17_event_study_v2.py",3 "n_firms": 2215,4 "window": {5 "estimation": "2022-01-03..2022-10-31 (209 days)",6 "day0": "2022-12-01",7 "pre_block": "2022-11-02..2022-11-30",8 "last_day": "2024-06-28",9 "n_event_days": 39510 },11 "by_benchmark": {12 "mm_2022": {13 "full": {14 "n_high": 741,15 "n_low": 738,16 "rho_bar": 0.0374,17 "kp_factor": 0.131,18 "horizons": {19 "pre_m20_m1": {20 "days": 20,21 "HL_CAR_pct": -0.28,22 "t_cda": -0.16,23 "t_event_sd": -0.17,24 "High_pct": -2.34,25 "Low_pct": -2.06,26 "t_bmp_HL": -0.71,27 "t_bmp_HL_kp": -0.0928 },29 "car_m1_p1": {30 "days": 3,31 "HL_CAR_pct": 0.65,32 "t_cda": 0.93,33 "t_event_sd": 0.98,34 "High_pct": 0.37,35 "Low_pct": -0.27,36 "t_bmp_HL": 3.91,37 "t_bmp_HL_kp": 0.5138 },39 "car_0_5": {40 "days": 6,41 "HL_CAR_pct": 0.41,42 "t_cda": 0.41,43 "t_event_sd": 0.44,44 "High_pct": 0.41,45 "Low_pct": 0.01,46 "t_bmp_HL": 2.66,47 "t_bmp_HL_kp": 0.3548 },49 "car_0_20": {50 "days": 21,51 "HL_CAR_pct": 0.96,52 "t_cda": 0.52,53 "t_event_sd": 0.55,54 "High_pct": 1.5,55 "Low_pct": 0.54,56 "t_bmp_HL": 2.53,57 "t_bmp_HL_kp": 0.3358 },59 "car_60d": {60 "days": 60,61 "HL_CAR_pct": 3.43,62 "t_cda": 1.1,63 "t_event_sd": 1.16,64 "High_pct": 7.08,65 "Low_pct": 3.65,66 "t_bmp_HL": 1.78,67 "t_bmp_HL_kp": 0.2368 },69 "car_6m": {70 "days": 125,71 "HL_CAR_pct": 12.91,72 "t_cda": 2.87,73 "t_event_sd": 3.02,74 "High_pct": -0.45,75 "Low_pct": -13.36,76 "t_bmp_HL": 5.0,77 "t_bmp_HL_kp": 0.6678 },79 "car_1y": {80 "days": 250,81 "HL_CAR_pct": 14.2,82 "t_cda": 2.23,83 "t_event_sd": 2.35,84 "High_pct": -3.91,85 "Low_pct": -18.1,86 "t_bmp_HL": 5.17,87 "t_bmp_HL_kp": 0.6888 },89 "car_18m": {90 "days": 395,91 "HL_CAR_pct": 9.49,92 "t_cda": 1.19,93 "t_event_sd": 1.25,94 "High_pct": -12.04,95 "Low_pct": -21.52,96 "t_bmp_HL": 3.16,97 "t_bmp_HL_kp": 0.4198 }99 }100 },101 "large": {102 "n_high": 393,103 "n_low": 290,104 "rho_bar": 0.032,105 "kp_factor": 0.206,106 "horizons": {107 "pre_m20_m1": {108 "days": 20,109 "HL_CAR_pct": 0.4,110 "t_cda": 0.21,111 "t_event_sd": 0.25,112 "High_pct": -0.0,113 "Low_pct": -0.4,114 "t_bmp_HL": 1.53,115 "t_bmp_HL_kp": 0.32116 },117 "car_m1_p1": {118 "days": 3,119 "HL_CAR_pct": 0.91,120 "t_cda": 1.25,121 "t_event_sd": 1.46,122 "High_pct": 0.24,123 "Low_pct": -0.66,124 "t_bmp_HL": 3.71,125 "t_bmp_HL_kp": 0.76126 },127 "car_0_5": {128 "days": 6,129 "HL_CAR_pct": 1.2,130 "t_cda": 1.17,131 "t_event_sd": 1.37,132 "High_pct": 0.61,133 "Low_pct": -0.59,134 "t_bmp_HL": 3.2,135 "t_bmp_HL_kp": 0.66136 },137 "car_0_20": {138 "days": 21,139 "HL_CAR_pct": 2.81,140 "t_cda": 1.46,141 "t_event_sd": 1.71,142 "High_pct": 1.74,143 "Low_pct": -1.07,144 "t_bmp_HL": 4.54,145 "t_bmp_HL_kp": 0.94146 },147 "car_60d": {148 "days": 60,149 "HL_CAR_pct": 4.76,150 "t_cda": 1.46,151 "t_event_sd": 1.71,152 "High_pct": 3.76,153 "Low_pct": -0.99,154 "t_bmp_HL": 3.24,155 "t_bmp_HL_kp": 0.67156 },157 "car_6m": {158 "days": 125,159 "HL_CAR_pct": 13.87,160 "t_cda": 2.96,161 "t_event_sd": 3.46,162 "High_pct": -2.47,163 "Low_pct": -16.34,164 "t_bmp_HL": 6.07,165 "t_bmp_HL_kp": 1.25166 },167 "car_1y": {168 "days": 250,169 "HL_CAR_pct": 20.03,170 "t_cda": 3.02,171 "t_event_sd": 3.53,172 "High_pct": -5.54,173 "Low_pct": -25.57,174 "t_bmp_HL": 5.34,175 "t_bmp_HL_kp": 1.1176 },177 "car_18m": {178 "days": 395,179 "HL_CAR_pct": 24.72,180 "t_cda": 2.97,181 "t_event_sd": 3.47,182 "High_pct": -14.07,183 "Low_pct": -38.79,184 "t_bmp_HL": 4.84,185 "t_bmp_HL_kp": 1.0186 }187 }188 },189 "small": {190 "n_high": 341,191 "n_low": 440,192 "rho_bar": 0.0559,193 "kp_factor": 0.146,194 "horizons": {195 "pre_m20_m1": {196 "days": 20,197 "HL_CAR_pct": -1.79,198 "t_cda": -0.78,199 "t_event_sd": -0.93,200 "High_pct": -5.05,201 "Low_pct": -3.25,202 "t_bmp_HL": -1.12,203 "t_bmp_HL_kp": -0.16204 },205 "car_m1_p1": {206 "days": 3,207 "HL_CAR_pct": 0.59,208 "t_cda": 0.66,209 "t_event_sd": 0.78,210 "High_pct": 0.55,211 "Low_pct": -0.03,212 "t_bmp_HL": 2.43,213 "t_bmp_HL_kp": 0.35214 },215 "car_0_5": {216 "days": 6,217 "HL_CAR_pct": -0.19,218 "t_cda": -0.15,219 "t_event_sd": -0.18,220 "High_pct": 0.2,221 "Low_pct": 0.4,222 "t_bmp_HL": 1.38,223 "t_bmp_HL_kp": 0.2224 },225 "car_0_20": {226 "days": 21,227 "HL_CAR_pct": -0.35,228 "t_cda": -0.15,229 "t_event_sd": -0.18,230 "High_pct": 1.28,231 "Low_pct": 1.63,232 "t_bmp_HL": 1.41,233 "t_bmp_HL_kp": 0.21234 },235 "car_60d": {236 "days": 60,237 "HL_CAR_pct": 4.65,238 "t_cda": 1.17,239 "t_event_sd": 1.39,240 "High_pct": 11.12,241 "Low_pct": 6.47,242 "t_bmp_HL": 1.39,243 "t_bmp_HL_kp": 0.2244 },245 "car_6m": {246 "days": 125,247 "HL_CAR_pct": 14.45,248 "t_cda": 2.53,249 "t_event_sd": 2.99,250 "High_pct": 2.48,251 "Low_pct": -11.97,252 "t_bmp_HL": 3.21,253 "t_bmp_HL_kp": 0.47254 },255 "car_1y": {256 "days": 250,257 "HL_CAR_pct": 12.23,258 "t_cda": 1.51,259 "t_event_sd": 1.79,260 "High_pct": -1.53,261 "Low_pct": -13.76,262 "t_bmp_HL": 3.09,263 "t_bmp_HL_kp": 0.45264 },265 "car_18m": {266 "days": 395,267 "HL_CAR_pct": 4.2,268 "t_cda": 0.41,269 "t_event_sd": 0.49,270 "High_pct": -8.8,271 "Low_pct": -13.01,272 "t_bmp_HL": 1.69,273 "t_bmp_HL_kp": 0.25274 }275 }276 },277 "large_v1": {278 "n_high": 390,279 "n_low": 281,280 "rho_bar": 0.0335,281 "kp_factor": 0.203,282 "horizons": {283 "pre_m20_m1": {284 "days": 20,285 "HL_CAR_pct": 0.86,286 "t_cda": 0.52,287 "t_event_sd": 0.57,288 "High_pct": 0.31,289 "Low_pct": -0.55,290 "t_bmp_HL": 1.53,291 "t_bmp_HL_kp": 0.31292 },293 "car_m1_p1": {294 "days": 3,295 "HL_CAR_pct": 1.03,296 "t_cda": 1.61,297 "t_event_sd": 1.75,298 "High_pct": 0.23,299 "Low_pct": -0.81,300 "t_bmp_HL": 4.02,301 "t_bmp_HL_kp": 0.82302 },303 "car_0_5": {304 "days": 6,305 "HL_CAR_pct": 1.21,306 "t_cda": 1.33,307 "t_event_sd": 1.45,308 "High_pct": 0.64,309 "Low_pct": -0.57,310 "t_bmp_HL": 3.04,311 "t_bmp_HL_kp": 0.62312 },313 "car_0_20": {314 "days": 21,315 "HL_CAR_pct": 2.74,316 "t_cda": 1.62,317 "t_event_sd": 1.76,318 "High_pct": 1.79,319 "Low_pct": -0.95,320 "t_bmp_HL": 4.33,321 "t_bmp_HL_kp": 0.88322 },323 "car_60d": {324 "days": 60,325 "HL_CAR_pct": 4.9,326 "t_cda": 1.71,327 "t_event_sd": 1.86,328 "High_pct": 3.75,329 "Low_pct": -1.15,330 "t_bmp_HL": 3.23,331 "t_bmp_HL_kp": 0.66332 },333 "car_6m": {334 "days": 125,335 "HL_CAR_pct": 13.79,336 "t_cda": 3.34,337 "t_event_sd": 3.62,338 "High_pct": -4.17,339 "Low_pct": -17.96,340 "t_bmp_HL": 5.84,341 "t_bmp_HL_kp": 1.19342 },343 "car_1y": {344 "days": 250,345 "HL_CAR_pct": 19.24,346 "t_cda": 3.3,347 "t_event_sd": 3.57,348 "High_pct": -8.24,349 "Low_pct": -27.47,350 "t_bmp_HL": 4.94,351 "t_bmp_HL_kp": 1.0352 },353 "car_18m": {354 "days": 395,355 "HL_CAR_pct": 24.37,356 "t_cda": 3.32,357 "t_event_sd": 3.6,358 "High_pct": -16.7,359 "Low_pct": -41.07,360 "t_bmp_HL": 4.47,361 "t_bmp_HL_kp": 0.91362 }363 }364 },365 "small_v1": {366 "n_high": 275,367 "n_low": 385,368 "rho_bar": 0.057,369 "kp_factor": 0.156,370 "horizons": {371 "pre_m20_m1": {372 "days": 20,373 "HL_CAR_pct": -1.73,374 "t_cda": -0.78,375 "t_event_sd": -0.79,376 "High_pct": -4.68,377 "Low_pct": -2.94,378 "t_bmp_HL": -0.99,379 "t_bmp_HL_kp": -0.15380 },381 "car_m1_p1": {382 "days": 3,383 "HL_CAR_pct": 0.58,384 "t_cda": 0.67,385 "t_event_sd": 0.68,386 "High_pct": 0.53,387 "Low_pct": -0.06,388 "t_bmp_HL": 2.5,389 "t_bmp_HL_kp": 0.39390 },391 "car_0_5": {392 "days": 6,393 "HL_CAR_pct": -0.43,394 "t_cda": -0.35,395 "t_event_sd": -0.36,396 "High_pct": -0.06,397 "Low_pct": 0.37,398 "t_bmp_HL": 1.41,399 "t_bmp_HL_kp": 0.22400 },401 "car_0_20": {402 "days": 21,403 "HL_CAR_pct": -1.07,404 "t_cda": -0.47,405 "t_event_sd": -0.48,406 "High_pct": 0.83,407 "Low_pct": 1.91,408 "t_bmp_HL": 1.26,409 "t_bmp_HL_kp": 0.2410 },411 "car_60d": {412 "days": 60,413 "HL_CAR_pct": 4.24,414 "t_cda": 1.1,415 "t_event_sd": 1.11,416 "High_pct": 10.89,417 "Low_pct": 6.65,418 "t_bmp_HL": 1.33,419 "t_bmp_HL_kp": 0.21420 },421 "car_6m": {422 "days": 125,423 "HL_CAR_pct": 14.31,424 "t_cda": 2.56,425 "t_event_sd": 2.59,426 "High_pct": 2.84,427 "Low_pct": -11.47,428 "t_bmp_HL": 2.98,429 "t_bmp_HL_kp": 0.46430 },431 "car_1y": {432 "days": 250,433 "HL_CAR_pct": 10.48,434 "t_cda": 1.33,435 "t_event_sd": 1.34,436 "High_pct": -2.51,437 "Low_pct": -12.99,438 "t_bmp_HL": 2.84,439 "t_bmp_HL_kp": 0.44440 },441 "car_18m": {442 "days": 395,443 "HL_CAR_pct": -0.51,444 "t_cda": -0.05,445 "t_event_sd": -0.05,446 "High_pct": -9.49,447 "Low_pct": -8.97,448 "t_bmp_HL": 1.53,449 "t_bmp_HL_kp": 0.24450 }451 }452 },453 "large_pct42": {454 "n_high": 363,455 "n_low": 260,456 "rho_bar": 0.0309,457 "kp_factor": 0.219,458 "horizons": {459 "pre_m20_m1": {460 "days": 20,461 "HL_CAR_pct": -0.1,462 "t_cda": -0.05,463 "t_event_sd": -0.06,464 "High_pct": 0.01,465 "Low_pct": 0.11,466 "t_bmp_HL": 1.04,467 "t_bmp_HL_kp": 0.23468 },469 "car_m1_p1": {470 "days": 3,471 "HL_CAR_pct": 0.81,472 "t_cda": 1.16,473 "t_event_sd": 1.36,474 "High_pct": 0.1,475 "Low_pct": -0.71,476 "t_bmp_HL": 3.47,477 "t_bmp_HL_kp": 0.76478 },479 "car_0_5": {480 "days": 6,481 "HL_CAR_pct": 0.98,482 "t_cda": 0.99,483 "t_event_sd": 1.16,484 "High_pct": 0.55,485 "Low_pct": -0.43,486 "t_bmp_HL": 2.65,487 "t_bmp_HL_kp": 0.58488 },489 "car_0_20": {490 "days": 21,491 "HL_CAR_pct": 2.68,492 "t_cda": 1.45,493 "t_event_sd": 1.69,494 "High_pct": 1.56,495 "Low_pct": -1.12,496 "t_bmp_HL": 4.18,497 "t_bmp_HL_kp": 0.92498 },499 "car_60d": {500 "days": 60,501 "HL_CAR_pct": 4.32,502 "t_cda": 1.38,503 "t_event_sd": 1.61,504 "High_pct": 3.36,505 "Low_pct": -0.96,506 "t_bmp_HL": 2.88,507 "t_bmp_HL_kp": 0.63508 },509 "car_6m": {510 "days": 125,511 "HL_CAR_pct": 12.88,512 "t_cda": 2.85,513 "t_event_sd": 3.32,514 "High_pct": -2.83,515 "Low_pct": -15.71,516 "t_bmp_HL": 5.54,517 "t_bmp_HL_kp": 1.21518 },519 "car_1y": {520 "days": 250,521 "HL_CAR_pct": 19.08,522 "t_cda": 2.98,523 "t_event_sd": 3.48,524 "High_pct": -6.02,525 "Low_pct": -25.09,526 "t_bmp_HL": 4.97,527 "t_bmp_HL_kp": 1.09528 },529 "car_18m": {530 "days": 395,531 "HL_CAR_pct": 22.43,532 "t_cda": 2.79,533 "t_event_sd": 3.26,534 "High_pct": -15.19,535 "Low_pct": -37.61,536 "t_bmp_HL": 4.35,537 "t_bmp_HL_kp": 0.95538 }539 }540 },541 "small_pct42": {542 "n_high": 371,543 "n_low": 470,544 "rho_bar": 0.0556,545 "kp_factor": 0.141,546 "horizons": {547 "pre_m20_m1": {548 "days": 20,549 "HL_CAR_pct": -1.3,550 "t_cda": -0.57,551 "t_event_sd": -0.68,552 "High_pct": -4.66,553 "Low_pct": -3.36,554 "t_bmp_HL": -1.03,555 "t_bmp_HL_kp": -0.15556 },557 "car_m1_p1": {558 "days": 3,559 "HL_CAR_pct": 0.71,560 "t_cda": 0.81,561 "t_event_sd": 0.96,562 "High_pct": 0.67,563 "Low_pct": -0.05,564 "t_bmp_HL": 2.83,565 "t_bmp_HL_kp": 0.4566 },567 "car_0_5": {568 "days": 6,569 "HL_CAR_pct": 0.05,570 "t_cda": 0.04,571 "t_event_sd": 0.05,572 "High_pct": 0.3,573 "Low_pct": 0.24,574 "t_bmp_HL": 1.69,575 "t_bmp_HL_kp": 0.24576 },577 "car_0_20": {578 "days": 21,579 "HL_CAR_pct": 0.01,580 "t_cda": 0.0,581 "t_event_sd": 0.0,582 "High_pct": 1.49,583 "Low_pct": 1.48,584 "t_bmp_HL": 1.6,585 "t_bmp_HL_kp": 0.23586 },587 "car_60d": {588 "days": 60,589 "HL_CAR_pct": 4.95,590 "t_cda": 1.25,591 "t_event_sd": 1.49,592 "High_pct": 10.92,593 "Low_pct": 5.97,594 "t_bmp_HL": 1.47,595 "t_bmp_HL_kp": 0.21596 },597 "car_6m": {598 "days": 125,599 "HL_CAR_pct": 15.03,600 "t_cda": 2.63,601 "t_event_sd": 3.13,602 "High_pct": 2.43,603 "Low_pct": -12.6,604 "t_bmp_HL": 3.45,605 "t_bmp_HL_kp": 0.49606 },607 "car_1y": {608 "days": 250,609 "HL_CAR_pct": 13.39,610 "t_cda": 1.65,611 "t_event_sd": 1.97,612 "High_pct": -1.39,613 "Low_pct": -14.78,614 "t_bmp_HL": 3.4,615 "t_bmp_HL_kp": 0.48616 },617 "car_18m": {618 "days": 395,619 "HL_CAR_pct": 7.17,620 "t_cda": 0.7,621 "t_event_sd": 0.84,622 "High_pct": -8.13,623 "Low_pct": -15.3,624 "t_bmp_HL": 2.05,625 "t_bmp_HL_kp": 0.29626 }627 }628 },629 "sp500": {630 "n_high": 212,631 "n_low": 111,632 "rho_bar": 0.0297,633 "kp_factor": 0.303,634 "horizons": {635 "pre_m20_m1": {636 "days": 20,637 "HL_CAR_pct": 0.12,638 "t_cda": 0.07,639 "t_event_sd": 0.08,640 "High_pct": 0.88,641 "Low_pct": 0.77,642 "t_bmp_HL": -0.09,643 "t_bmp_HL_kp": -0.03644 },645 "car_m1_p1": {646 "days": 3,647 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