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.


Travis-CI Build Status

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.

Instalation

The package is not submitted to CRAN and is located in a GitHub repository. To install the development version of estudy2 use:

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

News

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")

0.8.5 by Iegor Rudnytskyi, 9 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