evStudy: An Event Study Analysis Function

In evgilenko/evStudy: The package for event study analysis.

Description

This function runs event study calculations using the standard market model.

Usage

evStudy(df.events, df.stocks, left.event.window = 5, right.event.window = 2,
  estim.window = 100)

Arguments

df.events	The data frame containing the list of events. The first column of the data frame should be 'event_id' (type Integer) numbering the events from 1 to n. The second column shoud be 'event_date' (type Date). The third column should contain 'company_id' (type Chr).
df.stocks	The data frame contains the list of trading dates. The first column should contain the dates of trading days (type Date). The second column should contain the values of the market index (type Numeric). The following columns should contain the prices of the companies' securities.
left.event.window	The first half of the event window, before and NOT including the moment of the event (default is 5).
right.event.window	The second half of the event window, after and NOT including the moment of the event (default is 2).
estim.window	The length of the estimation window (default is 100). It is adjacent to the beginning of the event window.

Examples

evStudy(events, stocks)

evgilenko/evStudy documentation built on May 12, 2019, 5:45 a.m.