Task: Earnings Event Study — Abnormal Returns and CAAR
Task: Earnings Event Study — Abnormal Returns and CAAR: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Conduct a market-model event study to measure abnormal stock returns around quarterly earnings announcements. For each event, estimate expected returns using a…
The task
Conduct a **market-model event study** to measure abnormal stock returns around quarterly earnings announcements. For each event, estimate expected returns using a market model (OLS regression), compute abnormal returns in the event window, and aggregate into Cumulative Abnormal Returns (CAR) and Cumulative Average…
Part of codeslord/skilltrainbench-public.