Man pages for eventstudies
Event Study Analysis

AggregateReturnsIntra-day stock price returns data
constantMeanReturnExtract residuals over constant mean returns
eesDatesGet event list for extreme event study analysis
eesInferenceExtreme event study inference estimation
eesSummarySummary statistics of extreme events
eventstudies-packageeventstudies: R package for conducting event studies
eventstudyPerform event study analysis
excessReturnEstimate excess returns over the market
get.clusters.formattedGet formatted clusters to perform extreme event study...
IndexReturnsMarket indice returns data
inference.bootstrapBootstrap inference for event study estimator
inference.classicClassic T-inference for event study estimator
inference.wilcoxWilcox inference for event study estimator
KGEarningsDatesEarnings announcement data for replication of a standard...
KGMarketReturnsMarket indice returns data
KGStockReturnsStock price returns data
KGSurpriseCategoryClassification of stocks
lmAMMAugmented market model (AMM) estimation
makeXPrepare regressors for computation of Augmented Market Models
manyfirmssubperiod.lmAMMEstimate exposure for many regressands over multiple periods
marketModelExtract residuals from a market model
OtherReturnsData set containing daily returns of Nifty index, USD INR,...
phys2eventtimeConvert data from physical to event time
RateCutsDates of RBI key interest rate cuts
remap.cumprodCumulative geometric values
remap.cumsumCumulative values
remap.event.reindexRe-index value within event window
SplitDatesData set of events used to perform event study analysis
StockPriceReturnsStock price returns data
subperiod.lmAMMEstimate exposure for a single regressor over multiple...
TerrorAttackDates of terrorist attack
TerrorIndiceReturnsStock indice returns data
eventstudies documentation built on July 1, 2020, 10:26 p.m.