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@marheiska
marheiska / Event Study
Created November 11, 2020 21:31
The performance of an Event Study (Python | AAR, CAR, t-test, betas, abnormal, stats)
import pandas_datareader as pdr
import pandas as pd
import numpy as np
from sklearn import linear_model
import scipy.stats as st
# Collect Data
data = pdr.DataReader(["TSLA","^GSPC"], 'yahoo','29-06-2010','01-01-2018')
data = data.drop(['High','Low','Open','Volume','Adj Close'], axis=1)
returns = data.pct_change(1) * 100