Bias-corrected estimators of price impact for legal event studies
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README.md
bias_corrected_estimators.ipynb
daily_mktadj_rtns.csv

README.md

This jupyter (Python 2) notebook presents:

  1. Code for the six bias-corrected estimators developed in Dove, Heath and Heaton (2017), Bias-Corrected Estimation of Price Impact in Securities Litigation.

  2. Replication code for all figures and tables in the paper.

(Link to paper)

You can view the notebook with inline graphs and tables here.

Running the notebook requires the packages: pandas, numpy, matplotlib, seaborn, pylab, scipy, math

... all of which come with a good free scientific Python distro such as Anaconda or Enthought.