Description Usage Arguments Value References Examples

`sar`

implements the calculation of standardized abnormal returns.

Standardized abnormal returns are defined as the excess event-return relative to a specific return of a matching control firm, and the remaining result subsequently divided by the standard variation of this excess return series: *SAR_{it} = \frac{r_{event} - r_{control}}{sd_{event-control}}*, with log-returns *r_{event}* and *r_{control}*. The matching control-return should be a single firm return-series and not portfolio-returns.

1 | ```
sar(event, control, logret="FALSE")
``` |

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

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

`logret` |
An object of class |

`sar`

returns a vector of class `"numeric"`

:

`SAR` |
Vector containing standardized abnormal 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 standardized abnormal 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)
SAR <- sar(event=demo_returns$EON, control=demo_returns$RWE, logret=FALSE)
mean(SAR)
``` |

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