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Quantitative Finance · Glossary

What is Event calendar, announcement window?

Also known as: event calendar · announcement window

Definition 11.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 11 — Fundamental, Analyst and Event Features

An event calendar lists scheduled corporate events (earnings releases, dividend dates, shareholder meetings, index changes) with the date each was announced and the date it occurs. An announcement window is a fixed range of trading days around an event, such as [−1,+1][-1, +1], used to measure its reaction or to exclude it.

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