demo_share_repurchases: Abnormal standardized returns for german stock repurchase...

In crseEventStudy: A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies

Abnormal standardized returns for german stock repurchase announcements

Description

demo_share_repurchases is a sample of abnormal standardized returns (ASR). The data contains 65 share repurchase announcements as published in Köstlmeier/Röder (2019). The announcements refer to german stocks from Jan. 2006 to Dec. 2016 listed in the DAX, MDAX and SDAX, where monthly return data for three subsequent years (beginning in the month after the announcement) is available. code denotes the Thomson-Reuters Datastream Mnemonic for each observation. date is the date (format: "yyyymm") for which the abnormal standardized return is calculated. ars denotes the column for the abnormal return series, which are pre-calculated abnormal standardized returns (ASR).

Usage

data(demo_share_repurchases)

References

Siegfried Köstlmeier, Klaus Röder (2019): Kurseffekte von Aktienrückkäufen in Deutschland und die zugrunde liegenden Motive von deren Ankündigung. CORPORATE FINANCE, 01-02, CF1286049, p. 10-17. https://cf-fachportal.owlit.de/document.aspx?docid=CF1286049.

Examples

## load demo_share_repurchases
data(demo_share_repurchases)

## calculate the mean abnormal return for the subsequent three years after
## the announcement of share repurchases for Munich Re AG from Apr. 2015 to Mar. 2018
beginn <- which(demo_share_repurchases$code=="D:MUV2" & demo_share_repurchases$date=="201504")[1]
stop <- beginn + 35
mean(demo_share_repurchases$ars[beginn:stop])

crseEventStudy documentation built on March 18, 2022, 7:20 p.m.