No. You probably were thinking of EventHandler<T>, which allows you to define the delegate for any specific type of EventArgs.
I personally don’t feel that EventArgs<T> is quite as good of a fit, though. The information used as a “payload” in the event args should be, in my opinion, a custom class to make its usage and expected properties very clear. Using a generic class will prevent you from being able to put meaningful names into place. (What does “Data” represent?)