Description Usage Arguments Details Value References Examples
The function calculates abnormal returns and confidence intervals during the event period(s) as well as cumulative abnormal returns of event(s).
1 2 3 4 5 6 7 8 9 10 11 12 | event2car(
returns = NULL,
regressor = NULL,
event_dates = NULL,
method = c("mean_adj", "mrkt_adj_within", "mrkt_adj_out"),
imputation_returns = c("approx", "mean", "drop", "pmm"),
imputation_regressor = c("approx", "mean"),
method_nontradingdays = c("add", "skip"),
car_lag = 1,
car_lead = 5,
estimation_period = 150
)
|
returns |
an object of class |
regressor |
an object of the same class as |
event_dates |
a character object or an object of class |
method |
a character indicating the method used to calculate abnormal returns and cumulative abnormal returns. Choose among
|
imputation_returns |
a character indicating the way of dealing with missing values in returns data:
|
imputation_regressor |
a character indicating the way of dealing with missing values in regressor data:
|
method_nontradingdays |
a character indicating how to treat non-trading days during eventperiod.
The method |
car_lag |
an object of class |
car_lead |
an object of class |
estimation_period |
an object of class |
The package covers three models for the calculation of the cumulative abnormal returns:
- Mean-adjusted model (mean_adj
)
- Market-adjusted model using out-of-sample estimation (mrkt_adj_out)
- Market-adjusted model using within-sample estimation (mrkt_adj_within)
This is the logic suggested by multiple scholars. See references below.
The generic function is dispatched for such classes as
zoo
. (future versions of the package allow for classes of data.frame
.)
If method
is mrkt_adj_out or mrkt_adj_within
and regressor
has the length greater than one, the first element of
regressor
will be applied for each security in returns
.
an object of class list
which contains abnormal returns on the event date(s),
confidence intervals of the abnormal returns, and the cumulative abnormal return of the event period(s).
Note that the mean_adj
adn the mrkt_adj_out
method produce mean abnormal returns,
yet the mrkt_adj_within
method delivers coefficients of the event period.
MacKinlay, A.C. Event Studies in Economics and Finance. Journal of Economic Literature, 35(1):13-39, 1997.
Brown S.J., Warner J.B. Using Daily Stock Returns, The Case of Event Studies. Journal of Financial Economics, 14:3-31, 1985.
Davies, R., Studnicka, Z. The heterogeneous impact of Brexit: Early indications from the FTSE. European Economic Review, 110:1-17, 2018.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | # prepare data
trumpelection <- as.Date("2016-11-08")
returns_firms <- tech_returns[,2:19]
return_indx <- tech_returns[,1]
# mean adjusted model
event2car(returns=returns_firms,regressor=return_indx,
imputation_returns="mean",
event_dates=trumpelection,method="mean_adj")
# market adjusted model (out-of sample estimation)
event2car(returns=returns_firms,regressor=return_indx,
imputation_returns="mean",imputation_regressor="approx",
event_dates=trumpelection,method="mrkt_adj_out")
# market adjusted model (within sample estimation)
event2car(returns=returns_firms,regressor=return_indx,
imputation_returns="mean",imputation_regressor="approx",
event_dates=trumpelection,method="mrkt_adj_within")
|
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