An Implementation of Parametric and Nonparametric Event Study

An implementation of a most commonly used event study methodology, including both parametric and nonparametric tests. It contains variety aspects of the rate of return estimation (the core calculation is done in C++), as well as three classical for event study market models: mean adjusted returns, market adjusted returns and single-index market models. There are 6 parametric and 6 nonparametric tests provided, which examine cross-sectional daily abnormal return (see the documentation of the functions for more information). Parametric tests include tests proposed by Brown and Warner (1980) , Brown and Warner (1985) , Boehmer et al. (1991) , Patell (1976) , and Lamb (1995) . Nonparametric tests covered in estudy2 are tests described in Corrado and Zivney (1992) , McConnell and Muscarella (1985) , Boehmer et al. (1991) , Cowan (1992) , Corrado (1989) , Campbell and Wasley (1993) , Savickas (2003) , Kolari and Pynnonen (2010) . Furthermore, tests for the cumulative abnormal returns proposed by Brown and Warner (1985) and Lamb (1995) are included.


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Overview

An implementation of a most commonly used event study methodology, including both parametric and nonparametric tests. It contains variety aspects of the rate of return estimation (the core calculation is done in C++), as well as three classical market models: mean adjusted returns, market adjusted returns and single-index market models. There are 6 parametric and 6 nonparametric tests provided, which examine cross-sectional daily abnormal return (see the documentation of the functions for more information). Furthermore, tests for the cumulative abnormal returns are included.

Installation

To install a current stable release from CRAN use:

install.packages("estudy2")

To install the development version of estudy2 use:

# library("devtools")
devtools::install_github("irudnyts/estudy2")

News

estudy2 0.9.0

  • Fix documentation for brown_warner_1985()
  • Fix documentation for car_brown_warner1985()
  • Update documentation on the returning object for each test
  • Implement the CAR non-parametric rank test described in Corrado in the extension by Cowan (1992, p. 6)
  • Change returning object from list to data.frame for all CAR parametric tests, add mean return over the CAR period
  • Add validation and handling of NA to returns()

estudy2 0.8.5

  • Replace function tseries::get.hist.quote() by quantmod::getSymbols()

  • Remove ELE.PA ticker from all tickers vectors in examples, vignettes, and data

Reference manual

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install.packages("estudy2")

0.9.0 by Iegor Rudnytskyi, 7 months ago


http://github.com/irudnyts/estudy2


Report a bug at http://github.com/irudnyts/estudy2/issues


Browse source code at https://github.com/cran/estudy2


Authors: Iegor Rudnytskyi [aut, cre]


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license


Imports quantmod, zoo, matrixStats, Rcpp

Suggests knitr, rmarkdown, magrittr

Linking to Rcpp


See at CRAN