abnormalReturn: Calculation of abnormal returns

In axelperschmann/AbnormalReturns: Computation of abnormal returns with event study methodology

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

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:

• Date POSIXct.

• abnormalReturn Numerical.

• cumulativeAbnormalReturn Numerical. The first c-1 rows will be cumulativeAbnormalReturn=NA.

• stockReturn Numerical. Actual return of prices_stock.

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

Examples

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.