abnormalReturn: Calculation of abnormal returns

Description Usage Arguments Value Examples

Description

This functions implements the event study methodology and abnormal returns in particular. The event study methodology is a common way to study the effects of certain events on stock prices. It thus calculates a so-called abnormal return that measures the impact without confounding influences. As part of this method, one first has to predict a normal return in the absence of the event under study. Afterwards, one calculates the difference between the actual return and the previously predicted normal return, i.e. the abnormal return.

Usage

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abnormalReturn(prices_stock, prices_market = NULL, from = NULL, to = NULL,
  model = "marketmodel", estimationWindowLength = 10, c = 10,
  attributeOfInterest = "Close", showPlot = FALSE)

Arguments

prices_stock, prices_market

Data frames, minimally containing a column Date and a second column named as specified by attributeOfInterest. Time series data of prices_market and prices_stock performance respectively. OR: Character objects, representing stock symbols. These symbols are used to query data directly from the Yahoo Finance platform.

from, to

Character or Date objects. Defining the data range.

model

A character object.

  • "marketmodel"

  • "constantmeanmodel" Argument 'prices_market' is not required for the constant mean model

All other types give an error.

estimationWindowLength

Positive integer. Defines number of observations considered to estimate model(s).

c

Positive integer. Cumulative Abnormal Returns, defines the number of abnormal returns to cumulate.

attributeOfInterest

A character object. Defines the attribute of interest.

showPlot

A boolean value. Should a plot of the prices_stock performance be shown?

Value

abnormalReturn returns a data frame, comprising following columns:

The number of rows returned depends on the length of prices_stock/prices_market, as well as estimationWindowLength and eventIndex.

Examples

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x <- abnormalReturn(prices_stock=d.VW, prices_market=d.DAX, model="marketmodel",
                    estimationWindowLength=10, c=10, attributeOfInterest="Close", showPlot=TRUE)
head(x)
summary(x$abnormalReturn)
x <- abnormalReturn(prices_stock="VOW3.DE", prices_market="%5EGDAXI", from="2015-03-01",
                    to="2015-11-30", model="marketmodel", estimationWindowLength=20, c=3,
                    attributeOfInterest="Close", showPlot=TRUE)
head(x)
summary(x$abnormalReturn)

axelperschmann/AbnormalReturns documentation built on May 11, 2019, 4:12 p.m.