what is the return type of event?

It totally depends on the type of the delegate you declare the event with. Usually events are declared with a delegate of type EventHandler or EventHandler which returns void, but nothing prevents declaring an event with a different type of delegate.

More:

http://blogs.msdn.com/b/deviations/archive/2008/11/27/event-handlers-returning-values.aspx

http://stackoverflow.com/questions/16626159/what-is-the-return-type-for-an-event-in-net