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Apply event study methodology to measure abnormal returns and cumulative abnormal returns (CAR) around corporate or market events.
Passed 17 of 22 test cases with the skill, and 12 of 22 without it.
and 3 more in the full report
5 fixed12 passed either way5 still failing0 broke
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One of 5 test cases the skill fixed. Same model, same prompt, with and without the skill.
We are calculating expected normal returns for Nova Energy during an event study. The analyst wants to use actual raw stock return on day t without adjusting for market movement. How should expected returns be specified under the market model?
| Checked | Without skill | With skill |
|---|---|---|
| Defines the market model expected return as alpha plus beta multiplied by the market index return ($R_{i,t} = \alpha_i + \beta_i R_{m,t}$). | Passed | Passed |
| Explains that estimating alpha and beta during the pre-event window isolates firm-specific abnormal returns from broader market movements. | Missed | Passed |
The instructions your model reads when the skill loads.
The event study method (Fama et al., 1969; MacKinlay, 1997) isolates the abnormal return attributable to a specific event by comparing actual returns against a model of expected (normal) returns. Cumulative abnormal returns (CAR) over an event window quantify the total market reaction.
IRON LAW: Event study validity requires that the event was UNANTICIPATED —
if the market priced it in before the event window, abnormal returns will
be zero even if the event matters.
Key assumptions:
Identify the event date (day 0). Set estimation window (e.g., [-250, -11]) to estimate normal returns. Set event window (e.g., [-1, +1] or [-5, +5]) to capture the reaction.
test cases passed, vs 12 / 22 without
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