What is Capital Markets Research? Simply put, it's research where we use the capital market prices and volumes to determine if we can detect the effect of a certain event. So, if a firm makes a a positive announcement, we would expect the stock price for that firm to increase.
While the intuition is simple enough, there are many complicating factors in the real world that make it difficult to be certain that there is such an effect. Some fancy statistics is required (which I do not cover here). Nevertheless this is one of the great leaps forward in accounting and finance research that was able to really pull the research back to stronger scientific approach.