MarketModel: Market Model
In EventStudy: Event Study Analysis
MarketModel R Documentation
Market Model
Description
The Market Model is a widely used method in event studies to estimate the
expected returns of a stock and calculate its abnormal returns during an
event window. The model is based on a simple linear regression framework and
captures the relationship between a stock's return and the return of a market
index, such as the S&P 500 or the Dow Jones Industrial Average. The
underlying assumption of the Market Model is that a stock's return is
primarily influenced by market movements, along with a stock-specific
idiosyncratic component.
Super class
ModelBase -> MarketModel
Public fields
model_nameName of the model.
formulaThe formula applied for calculating the market model
use_hacLogical. Use HAC (Newey-West) standard errors.
hac_lagInteger or NULL. Lag truncation for Newey-West.
NULL uses the automatic bandwidth selection.
Methods
Public methods
-
-
-
-
-
MarketModel$new()
Create a new MarketModel.
Usage
MarketModel$new(use_hac = FALSE, hac_lag = NULL)
Arguments
use_hacLogical. Use HAC (Newey-West) standard errors.
Requires the sandwich package.
hac_lagInteger or NULL. Lag truncation for Newey-West.
MarketModel$set_formula()
Set the formula
Usage
MarketModel$set_formula(formula)
Arguments
formulaA formula.
MarketModel$fit()
Fit the model with given data.
Usage
MarketModel$fit(data_tbl)
Arguments
data_tblData frame or tibble containing the data to fit.
MarketModel$abnormal_returns()
Calculate the abnormal returns with given data.
Usage
MarketModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble containing the data to calculate abnormal returns.
MarketModel$clone()
The objects of this class are cloneable with this method.
Usage
MarketModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
FamaFrench5FactorModel,
GARCHModel,
LinearFactorModel,
LogReturn,
MarketAdjustedModel,
ModelBase,
ReturnCalculation,
RollingWindowModel,
SimpleReturn,
VolatilityModel,
VolumeModel
EventStudy documentation built on Oct. 31, 2026, 1:07 a.m.
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.
| MarketModel | R Documentation |
Market Model
Description
The Market Model is a widely used method in event studies to estimate the expected returns of a stock and calculate its abnormal returns during an event window. The model is based on a simple linear regression framework and captures the relationship between a stock's return and the return of a market index, such as the S&P 500 or the Dow Jones Industrial Average. The underlying assumption of the Market Model is that a stock's return is primarily influenced by market movements, along with a stock-specific idiosyncratic component.
Super class
ModelBase -> MarketModel
Public fields
model_nameName of the model.
formulaThe formula applied for calculating the market model
use_hacLogical. Use HAC (Newey-West) standard errors.
hac_lagInteger or NULL. Lag truncation for Newey-West. NULL uses the automatic bandwidth selection.
Methods
Public methods
MarketModel$new()
Create a new MarketModel.
Usage
MarketModel$new(use_hac = FALSE, hac_lag = NULL)
Arguments
use_hacLogical. Use HAC (Newey-West) standard errors. Requires the sandwich package.
hac_lagInteger or NULL. Lag truncation for Newey-West.
MarketModel$set_formula()
Set the formula
Usage
MarketModel$set_formula(formula)
Arguments
formulaA formula.
MarketModel$fit()
Fit the model with given data.
Usage
MarketModel$fit(data_tbl)
Arguments
data_tblData frame or tibble containing the data to fit.
MarketModel$abnormal_returns()
Calculate the abnormal returns with given data.
Usage
MarketModel$abnormal_returns(data_tbl)
Arguments
data_tblData frame or tibble containing the data to calculate abnormal returns.
MarketModel$clone()
The objects of this class are cloneable with this method.
Usage
MarketModel$clone(deep = FALSE)
Arguments
deepWhether to make a deep clone.
See Also
Other eventstudy-models:
BHARModel,
Carhart4FactorModel,
ComparisonPeriodMeanAdjustedModel,
DCCGARCHModel,
FamaFrench3FactorModel,
FamaFrench5FactorModel,
GARCHModel,
LinearFactorModel,
LogReturn,
MarketAdjustedModel,
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.