--- title: "Earnings event study (market-model CAR)" method: GET path: "/api/v1/equities/{symbol}/earnings/event-study" tags: ["Equities Indices"] --- # Earnings event study (market-model CAR) `GET /api/v1/equities/{symbol}/earnings/event-study` 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 - `symbol` string, required ## Query parameters - `lookback` integer — Number of most-recent earnings events to analyse (1-20, default 8). Bounds the OHLC history fetched and the per-request workload. - `market_proxy` string — Market-proxy ticker used as the OLS regressor. - `include_daily_ar` boolean — Return per-event daily abnormal-return arrays. Off by default to avoid response bloat. - `car_window_end` integer — 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 `200` Successful Response - EnvelopeEventStudyPayload - `data` EventStudyPayload, required — Full event-study response payload. - `symbol` string, required — Ticker as requested, normalized to upper case. - `market_proxy` string, required — Market-proxy ticker used as the regressor (default SPY). - `interval` string, required — OHLC interval. Always `1d`. - `estimation_window` integer[], required — Estimation window in event-day offsets [start, end] (10-day leakage buffer before day 0). - `min_estimation_days` integer, required — Minimum estimation-window return rows required, else the event is skipped. - `event_window` integer[], required — Event window in event-day offsets [start, end]. - `car_windows` array[], required — CAR windows computed (inclusive event-day ranges). - integer[] - `include_daily_ar` boolean, required — Whether per-event daily_ar arrays are included. - `events` EventResult[], required — Per-event results (valid + skipped, in announcement order). - `period` string, nullable — Report/announcement (calendar) date of the SEC 8-K item 2.02 filing (`YYYY-MM-DD`). NOT a fiscal quarter-end; it equals the announcement date taken from the filing. - `announcement_date` string, nullable — Earnings announcement date from the SEC 8-K item 2.02 filing (`YYYY-MM-DD`). - `event_day0_date` string, nullable — Resolved event day-0 trading date (ISO 8601 UTC). Null when the event was skipped. - `year` integer, nullable — Calendar year of the report/announcement date (NOT a fiscal year). - `quarter` integer, nullable — Calendar quarter (1-4) of the report/announcement date (NOT a fiscal quarter). - `filing_window` string, nullable — Announcement timing: BEFORE_OPEN / AFTER_HOURS / DURING_MARKET / null. - `event_timing_assumed` boolean, nullable — True when day-0 was assumed (DURING_MARKET or unknown filing window). - `actual` number, nullable — Reported EPS actual. - `estimate` number, nullable — Consensus EPS estimate. - `surprise_label` string, nullable — BEAT / MISS / MEET derived from actual vs estimate. - `market_model` MarketModelFit — OLS market-model fit over the estimation window for one event. - `alpha` number, required — OLS intercept (daily abnormal-return baseline). - `beta` number, required — OLS slope vs the market proxy. - `r_squared` number, required — Coefficient of determination (0-1). 0 when degenerate. - `n_obs` integer, required — Number of estimation-window return rows used. - `model_degenerate` boolean, required — True when the market regressor had zero variance (beta not identifiable, forced to 0). - `car` object, nullable — Cumulative abnormal return per window key (e.g. `0_1`, `0_5`, `0_20`). A value is null when the event is too recent for that window. - `daily_ar` number[], nullable — Per-day abnormal returns over the event window [0, +20]. Only present when include_daily_ar=true. - `skip_reason` string, nullable — Why the event was excluded: missing_announcement_date / insufficient_history / event_too_recent / announcement_outside_data. The `retrospective` reason is effectively inactive for SEC-sourced events because period equals the announcement date (no period-vs-announcement lag to screen). Null for valid events. - `aggregate` object, required — Cross-event aggregate statistics keyed by `car__` (e.g. `car_0_1`). - `source` string — OHLC data source used. Currently always `sugra_finance`. - `meta` SugraMeta, required — Metadata on a /api/v1/* response envelope built through `helpers.response.sugra_response`, which is how routes are expected to answer. A route that assembles its own `meta` dict carries only the keys it writes itself, so an optional field below can be absent because this response has nothing to report OR because that route does not build its envelope here - the two are not distinguishable from the outside (API-43). - `endpoint` string, required — Requested endpoint path. - `data_time` string, required — ISO 8601 timestamp the data on this response is stamped with. It is the source's own timestamp whenever the source supplied one this API could read; when it did not, this field falls back to the value of `response_time` and `data_age_days` is omitted, so the PRESENCE of that field is the signal to read - with the one exception named in its own description, a route that substitutes its own current time for a source timestamp it never received. Usually UTC (`Z`), but a source stating its own numeric offset keeps it (2026-04-16T14:30:00+09:00) rather than being converted a second time. For a source that publishes by period this is the period's START (see `period`) and for one that publishes by calendar day it is that day's midnight - in neither case a moment at which anything was observed or released. - `response_time` string, required — ISO 8601 UTC timestamp when this response was produced. - `provider` string, required — API name and version. - `data_age_days` number, nullable — Age of the data in days at the moment this response was produced, i.e. `response_time` minus `data_time`. Present ONLY when the timestamp this response is stamped with is a clock time that could be read as a real instant. It is ABSENT - never 0 - in every other case. Absent when no readable source timestamp was supplied, because `data_time` then repeats `response_time` and a zero age would assert that the data is current precisely where its true age is unknown. Absent when the source names a calendar day, a month, a quarter or a year (see `period`): the instant is then a boundary this API anchored at midnight, and time since a day or a quarter BEGAN is a different quantity from the age of the data - a daily series is out by up to a day, a quarterly one by up to a quarter. A midnight counts as such a boundary whichever zone it is stated in, and whether the source stated it or this API anchored it. The one case this field cannot see is a route that substitutes its own current time for a source timestamp it never received: the substituted value is a real, readable instant and is indistinguishable from one the source stated, so the age reads as roughly 0. The shared cache-and-fetch helper behind most routes stopped doing that (API-43), but the presence of this field is a statement about the timestamp the response carries, not a guarantee about the route that supplied it. Rounded to 0.001 day (86.4 seconds), so 0.0 is a real measured age anywhere within roughly +/-43 seconds and not a stand-in for unknown; a source stamping an instant in the future reports a negative value (-0.001 or less) rather than being clamped. Sources publish on very different cadences, so a non-zero age is normal, not an error. Preserve absence in client code: a generated client that materialises a missing optional number as its numeric default turns 'age unknown' back into 'age zero', which is the exact confusion this field exists to remove. - `source` string, nullable — Identifier of the primary upstream source used for this response. - `attribution` string, nullable — Human-readable attribution mandated by an upstream source (e.g. a securities regulator or self-regulatory organization). Present only on responses whose source requires the owner and source to be clearly identified. Do not remove or alter it when using the response. - `fallback_used` boolean, nullable — True when the primary source failed and a fallback produced the data. - `fallback_chain` string[], nullable — Ordered list of sources attempted, in the order they were tried. - `cached` boolean, nullable — True when this response was served from the internal cache. - `stale` boolean, nullable — True when the cached response was returned after the upstream rate-limited or errored. Clients can use this to detect degraded data. - `period` string, nullable — Unit of observation, when the source publishes by period rather than by instant. `data_time` carries the period's START instant so it stays machine-readable; this field preserves what that instant used to mean, which the conversion would otherwise erase. Present only for such sources, and only when the source hands the API the label itself - a client that converts the period to its start instant before building the envelope loses the label, though not the age exclusion, which is decided by the instant. Note that `data_age_days` is omitted whenever this is present, because an age measured from a period start is not a freshness figure. - `notes` string, nullable — Data-quality caveat about THIS response - how old the underlying report is, a chokepoint AIS lower-bound, or that a source-reported `data_time` could not be read and the response time is shown instead. Distinct from `attribution`, which is a licensing obligation. Multiple caveats are joined with ' | '. Present only when there is one. ## Other responses - `401` — Missing or invalid `x-api-key` header. JSON body with a stable `code` distinguishing `missing_api_key` (no header sent) from `invalid_api_key` (header sent, key not accepted); any other 401 source carries the generic `unauthorized` with its detail as `reason`. Plus `hint`. `plan` is always null on 401 - an unauthenticated request has no plan; quota exhaustion is 429, not 401. - `422` — Validation Error - `429` — Daily rate limit exceeded. Check `X-RateLimit-Reset` for the next window. - `503` — Upstream source is temporarily unavailable. Retry after a short delay. ## Changes - **2026-09-01** `328d061c12ca` — 3 info - added the optional property `meta/data_age_days` to the response with the `200` status - added the optional property `meta/notes` to the response with the `200` status - added the optional property `meta/period` to the response with the `200` status - **2026-08-08** `4c4530760ba1` — 12 info - added the optional property `code` to the response with the `401` status - added the optional property `code` to the response with the `429` status - added the optional property `code` to the response with the `503` status - added the optional property `hint` to the response with the `401` status - …8 more [Change history](https://skmtc.dev/sugra/apis/sugra-api/changes/api/v1/equities/:symbol/earnings/event-study/get.md) --- [API](https://skmtc.dev/sugra/apis/sugra-api.md) · [All operations](https://skmtc.dev/sugra/apis/sugra-api/llms.txt) · [OpenAPI document](https://skmtc-service-production.skmtc.workers.dev/v1/apis/sugra/sugra-api/revisions/68953d8a221b/schema)