Description Usage Arguments Value References Examples

`asr`

implements the calculation of abnormal standardized returns.

Abnormal standardized returns are defined as the excess standardized returns relative to the standardized return of a matching control firm or relative to the average of standardized returns of a matching control portfolio. Standardized returns are defined as *sr_{it} = \frac{r_{it}}{s_{it}}* where *s_{it}* is a standard deviation estimator of log returns *r_{it}*.

1 |

`event` |
a vector or time series of returns. |

`control` |
a vector or time series of returns. |

`logret` |
An object of class |

`asr`

returns a vector of class `"numeric"`

:

`ASR` |
Vector containing abnormal standardized returns. |

Dutta, A., Knif, J., Kolari, J.W., Pynnonen, S. (2018):
A robust and powerful test of abnormal stock returns in long-horizon event studies.
*Journal of Empirical Finance*, **47**, p. 1-24.
doi: 10.1016/j.jempfin.2018.02.004.

1 2 3 4 5 6 | ```
## load demo_returns
## calculate mean of daily abnormal standardized returns from 2015-01-01 to 2017-12-31
## with E.ON AG as event firm and RWE AG as control firm.
data(demo_returns)
ASR <- asr(event=demo_returns$EON, control=demo_returns$RWE, logret=FALSE)
mean(ASR)
``` |

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