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This paper introduces a new correction scheme to a conventional regression-based event study method: a topological machine-learning approach with a self-organizing map (SOM). We use this new scheme to analyze a major market event in Japan and find that the factors of abnormal stock returns can be easily identified and the event-cluster can be depicted. We also find that a conventional event study method involves an empirical analysis mechanism that tends to derive bias due to its mechanism, typically in an eventclustered market situation. We explain our new correction scheme and apply it to an event in the Japanese market -the holding disclosure of the Government Pension Investment Fund (GPIF) on July 31, 2015.

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