Earnings event study (market-model CAR)
MacKinlay market-model event study around the company's quarterly earnings announcements. Announcement dates are sourced from SEC 8-K item 2.02 filings (the report/announcement date carried by the filing); period, year and quarter reflect that report/announcement (calendar) date, NOT a fiscal quarter-end. Per event: OLS market-model fit on the estimation window [-250, -11] vs market_proxy (default SPY), daily abnormal returns over [0, +20], and CAR over [0,+1], [0,+5], [0,+20]. Cross-event significance is a two-sided one-sample Student-t test (df = n-1, exact incomplete-beta - NOT a normal approximation) plus a percentile bootstrap CI. Returns are SIMPLE (close_t/close_{t-1} - 1) computed on stock + proxy close prices aligned on common trading days. Events with no calendar announcement date are excluded (skip_reason=missing_announcement_date). The retrospective filter (drop events whose announcement is >45 days after period) is effectively inactive here because the announcement date is taken directly from the filing, so period equals the announcement and there is no period-vs-announcement lag to screen. Daily only (interval=1d).
Path parameters
Query parameters
Number of most-recent earnings events to analyse (1-20, default 8). Bounds the OHLC history fetched and the per-request workload.
Number of most-recent earnings events to analyse (1-20, default 8). Bounds the OHLC history fetched and the per-request workload.
Market-proxy ticker used as the OLS regressor.
Market-proxy ticker used as the OLS regressor.
Return per-event daily abnormal-return arrays. Off by default to avoid response bloat.
Return per-event daily abnormal-return arrays. Off by default to avoid response bloat.
Largest CAR window end day (1..20). The default CAR windows [0,+1],[0,+5],[0,+20] are filtered to those whose end <= this.
Largest CAR window end day (1..20). The default CAR windows [0,+1],[0,+5],[0,+20] are filtered to those whose end <= this.
Response
Successful Response
Example response
{
"data": {
"symbol": "AAPL",
"market_proxy": "SPY",
"interval": "1d",
"estimation_window": [
-250,
-11
],
"min_estimation_days": 200,
"event_window": [
0,
20
],
"car_windows": [
[
0,
1
],
[
0,
5
],
[
0,
20
]
],
"events": [
{
"period": "2024-05-02",
"announcement_date": "2024-05-02",
"event_day0_date": "2024-05-03T00:00:00Z",
"year": 2024,
"quarter": 2,
"filing_window": "AFTER_HOURS",
"actual": 1.6,
"estimate": 1.5,
"surprise_label": "BEAT",
"market_model": {
"alpha": 0.0003,
"beta": 1.12,
"r_squared": 0.61,
"n_obs": 240
},
"car": {
"0_1": 0.021,
"0_5": 0.034
},
"daily_ar": [
0.012,
0.009
]
}
],
"source": "sugra_finance"
},
"meta": {
"endpoint": "/api/v1/fred/us/cpi",
"data_time": "2026-04-16T14:30:00Z",
"response_time": "2026-04-16T14:30:12Z",
"provider": "Sugra API v1.0.1",
"source": "sugra_crypto",
"attribution": "Short interest and Reg SHO daily short volume data is owned by and sourced from FINRA (Financial Industry Regulatory Authority).",
"fallback_chain": [
"sugra_crypto",
"sugra_finance"
]
}
}