evRisk: Risk Evaluation for Event Analysis

In erer: Empirical Research in Economics with R

Risk Evaluation for Event Analysis

Description

Conduct a risk analysis by firm and evaluate the change of risk before and after an event. The model used is the Captial Asset Pricing Model.

Usage

evRisk(x, m = 50, r.free = "tbill", ...)

Arguments

x	a object from evReturn.
m	the number of days before and after the event date for estimating CAPM.
r.free	the column name of risk free asset in y.
...	additional arguments to be passed.

Details

This fits CAPM for each firm and reports the statistics for alpha, beta, and gamma. The statistics of gamma reveal the change of risk before and after the event.

Value

Return a list object of class "evReturn" with the following components:

x	a object from evReturn.
daEst	data used to estimate CAPM for the last firm as specified in codefirm.
rb	fitted CAPM for the last firm.
reg	regression coefficients by firm.

Methods

One method is defined as follows:

print:

print selected outputs.

Author(s)

Changyou Sun ([e-mail])

References

Mei, B., and C. Sun. 2008. Event analysis of the impact of mergers and acquisitions on the financial performance of the U.S. forest products industry. Forest Policy and Economics 10(5):286-294.

See Also

evReturn

Examples

data(daEsa)

hh <- evReturn(y = daEsa, firm = "wpp", 
   y.date = "date", index = "sp500", est.win = 250, digits = 3,
   event.date = 19990505, event.win = 5)
hh2 <- update(hh, firm = c("tin", "wy", "pcl", "pch"))

kk <- evRisk(x = hh2, m = 100, r.free="tb3m")
kk

erer documentation built on April 18, 2022, 5:06 p.m.