excessReturn: Estimate excess returns over the market

In eventstudies: Event Study Analysis

Description

This function estimates excess returns over the market. If the firm return is “firm.returns” and market return is “market.returns”, then output will be “firm.returns” less “market.returns”.

Usage

excessReturn(firm.returns, market.returns)

Arguments

firm.returns	a zoo timeseries with firm returns from which excess returns from market are to be calculated.
market.returns	a zoo object containing market index returns.

Value

Excess market return

Author(s)

Vikram Bahure

Examples

 
data(StockPriceReturns)
data(OtherReturns)

er.result <- excessReturn(firm.returns = StockPriceReturns,
			  market.returns = OtherReturns$NiftyIndex)

tail(merge(excessReturn = er.result$Infosys,
           Infosys = StockPriceReturns$Infosys,
           NiftyIndex = OtherReturns$NiftyIndex,
           all=FALSE))

eventstudies documentation built on July 1, 2020, 10:26 p.m.