This release adds two new test statistics, incl. corresponding p-values:

• Wilcoxon at AAR-level

• CDA T at AAR-level

For some data inputs/scenarios, our CAAR-level result report had missing values.

We resolved this printout issue. The new report now consistently displays results for Sign Z, StdCSect T, and Adjusted StdCSect T.

Further, we added the p-values for Sign Z, which were lacking so far.

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This release adds a new expected return model for our abnormal return calculator (ARC):

• Fama-French's Five-Factor Model (FF5FM) with all corresponding test statistics

Further, housekeeping tasks were performed and an error in the file printout mechanism was fixed.

This release adds a new expected return model for our abnormal return calculator (ARC):

• Capital Asset Pricing Model (CAPM) with all corresponding test statistics

Further, we worked on making our other factor models more accessible:

• Fama–French three-factor model (FFM3)

• Carhart four-factor model (FFM4)

You find sample data sets for the CAPM, FFM3, and FFM4 on our ARC instruction page.

Finally, housekeeping tasks were performed and a bug in the printout mechanism was fixed that had shown values of 0 as empty cells.

With this release, we added the following test statistic to the abnormal return calculator (ARC):

• Sign Z (incl. P-Values) at AAR-level

Further, p-values (see https://en.wikipedia.org/wiki/P-value) were added to the following set of test statistics of ARC:

• Generalized Sign Z at AAR-level

• Rank Z at AAR-level and CAAR-level

• Generalized Rank T at AAR-level and CAAR-level

• Generalized Rank Z at AAR-level and CAAR-level

• Patell Z at CAAR-level

• Csect T at CAAR-level

• Adjusted Patel Z at CAAR-level

• Adjusted StdSect Z at CAAR-level

• Skewness Corrected T at CAAR-level

With this release, we added the following test statistic to the abnormal return calculator (ARC):

• Crude Dependence Adjustment Test at AAR-level

Further, p-values (see https://en.wikipedia.org/wiki/P-value) were added to the following set of test statistics of ARC:

• t-tests at AR-level

• t-test at CAR-level

• Patell Z at AAR-level

• Cross-Sectional Test at AAR-level

• StdCSect T at AAR-level

• Adjusted Patell Z at AAR-level

• Adjusted StdCSect T at AAR-level

• Skewness Corrected T at AAR-level

• Crude Dependence Adjustment Test at AAR-level