Description Usage Arguments Details Value References See Also Examples
View source: R/car_parametric_tests.R
A parametric test proposed by Lamb 1995 that examines whether or not the cumulative abnormal return (CAR) significantly differs from zero.
1 | car_lamb(list_of_returns, car_start, car_end, percentage = 90)
|
list_of_returns |
a list of objects of S3 class |
car_start |
an object of |
car_end |
an object of |
percentage |
a lowest allowed percentage of non-missing observation for each day to be incorporated into CAR. The default value is 90 percent. |
This function performs a test proposed by Lamb 1995 to investigate
whether CAR significantly differs from zero. This tests uses the variance,
specified by Lamb 1995. The advantage of this test is allowance for
correlated cross-sectional returns. The test statistic is close enough to
statistic, produced by car_brown_warner_1985
. The critical
values are standard normal. The significance levels of α are 0.1,
0.05, and 0.01 (marked respectively by *, **, and ***).
A data frame of the following columns:
name
: a name of the test, i.e. "car_lamb"
car_start
: the first date of the CAR period
car_end
: the last date of the CAR period
average_percentage
: an average share of non-missing
observations over the CAR period
car_mean
: an average abnormal return over the CAR period
statistic
: a test's statistic
number_of_days
: the number of days in the CAR period
significance
: a significance of the statistic
Lamb R.P. An Exposure-Based Analysis of Property-Liability Insurer Stock Values around Hurricane Andrew. Journal of Risk and Insurance, 62(1):111-123, 1995.
car_brown_warner_1985
and
car_parametric_tests
.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 | ## Not run:
library("magrittr")
rates_indx <- get_prices_from_tickers("^GSPC",
start = as.Date("2019-04-01"),
end = as.Date("2020-04-01"),
quote = "Close",
retclass = "zoo") %>%
get_rates_from_prices(quote = "Close",
multi_day = TRUE,
compounding = "continuous")
tickers <- c("AMZN", "ZM", "UBER", "NFLX", "SHOP", "FB", "UPWK")
get_prices_from_tickers(tickers,
start = as.Date("2019-04-01"),
end = as.Date("2020-04-01"),
quote = "Close",
retclass = "zoo") %>%
get_rates_from_prices(quote = "Close",
multi_day = TRUE,
compounding = "continuous") %>%
apply_market_model(regressor = rates_indx,
same_regressor_for_all = TRUE,
market_model = "sim",
estimation_method = "ols",
estimation_start = as.Date("2019-04-01"),
estimation_end = as.Date("2020-03-13")) %>%
car_lamb(car_start = as.Date("2020-03-16"),
car_end = as.Date("2020-03-20"))
## End(Not run)
## The result of the code above is equivalent to:
data(securities_returns)
car_lamb(
list_of_returns = securities_returns,
car_start = as.Date("2020-03-16"),
car_end = as.Date("2020-03-20")
)
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