MarketAdjustedModel: Market Adjusted Model
In EventStudy: Event Study Analysis
MarketAdjustedModel R Documentation
Market Adjusted Model
Description
The Market Adjusted Model is another 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 less complex than the Market
Model, as it assumes that a stock's expected return is equal to the market
return, without considering any stock-specific factors. The Market
Adjusted Model is particularly useful in situations where the estimation of
individual stock parameters (such as alpha and beta) is not feasible or
desired, and a basic benchmark for comparison is needed.
Super class
ModelBase -> MarketAdjustedModel
Public fields
model_nameName of the model.
Methods
Public methods
MarketAdjustedModel$fit()
fit Fit the model with given data.
Usage
MarketAdjustedModel$fit(data_tbl)
Arguments
data_tblData frame or tibble containing the data to fit.
MarketAdjustedModel$abnormal_returns()
abnormal_returns Calculate the abnormal returns with given data.
Usage
MarketAdjustedModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble containing the data to calculate abnormal returns.
MarketAdjustedModel$clone()
The objects of this class are cloneable with this method.
Usage
MarketAdjustedModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
FamaFrench5FactorModel,
GARCHModel,
LinearFactorModel,
LogReturn,
MarketModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
EventStudy documentation built on Oct. 31, 2026, 1:07 a.m.
R Package Documentation
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| MarketAdjustedModel | R Documentation |
Market Adjusted Model
Description
The Market Adjusted Model is another 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 less complex than the Market Model, as it assumes that a stock's expected return is equal to the market return, without considering any stock-specific factors. The Market Adjusted Model is particularly useful in situations where the estimation of individual stock parameters (such as alpha and beta) is not feasible or desired, and a basic benchmark for comparison is needed.
Super class
ModelBase -> MarketAdjustedModel
Public fields
model_nameName of the model.
Methods
Public methods
MarketAdjustedModel$fit()
fit Fit the model with given data.
Usage
MarketAdjustedModel$fit(data_tbl)
Arguments
data_tblData frame or tibble containing the data to fit.
MarketAdjustedModel$abnormal_returns()
abnormal_returns Calculate the abnormal returns with given data.
Usage
MarketAdjustedModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble containing the data to calculate abnormal returns.
MarketAdjustedModel$clone()
The objects of this class are cloneable with this method.
Usage
MarketAdjustedModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
FamaFrench5FactorModel,
GARCHModel,
LinearFactorModel,
LogReturn,
MarketModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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