ComparisonPeriodMeanAdjustedModel: Comparison Period Mean Adjusted Model

In EventStudy: Event Study Analysis

Comparison Period Mean Adjusted Model

Description

The Comparison Period Mean Adjusted Model is another relatively simple approach used in event studies to estimate the expected returns of a stock and calculate its abnormal returns during an event window. This model is based on the assumption that a stock's expected return during the event window is equal to its average return during a comparison period (typically a pre-event period). This model is particularly useful when researchers want to control for a stock's historical performance and do not wish to rely on market return data.

Super class

ModelBase -> ComparisonPeriodMeanAdjustedModel

Public fields

model_name

Name of the model.

Methods

Public methods

• ComparisonPeriodMeanAdjustedModel$fit()

• ComparisonPeriodMeanAdjustedModel$abnormal_returns()

• ComparisonPeriodMeanAdjustedModel$clone()

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ComparisonPeriodMeanAdjustedModel$fit()

Fit the model with given data.

Usage

ComparisonPeriodMeanAdjustedModel$fit(data_tbl)

Arguments

data_tbl

Data frame or tibble containing the data to fit.

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ComparisonPeriodMeanAdjustedModel$abnormal_returns()

Calculate the abnormal returns with given data.

Usage

ComparisonPeriodMeanAdjustedModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble containing the data to calculate abnormal returns.

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ComparisonPeriodMeanAdjustedModel$clone()

The objects of this class are cloneable with this method.

Usage

ComparisonPeriodMeanAdjustedModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

See Also

Other eventstudy-models: BHARModel, Carhart4FactorModel, DCCGARCHModel, FamaFrench3FactorModel, FamaFrench5FactorModel, GARCHModel, LinearFactorModel, LogReturn, MarketAdjustedModel, MarketModel, ModelBase, ReturnCalculation, RollingWindowModel, SimpleReturn, VolatilityModel, VolumeModel

EventStudy documentation built on Oct. 31, 2026, 1:07 a.m.