irudnyts/estudy2: An Implementation of Parametric and Nonparametric Event Study
Version 0.8.5

An implementation of a most commonly used event study methodology, including both parametric and nonparametric tests. It contains variety aspects of the rate of return estimation (the core calculation is done in C++), as well as three classical for event study market models: mean adjusted returns, market adjusted returns and single-index market models. There are 6 parametric and 6 nonparametric tests provided, which examine cross-sectional daily abnormal return (see the documentation of the functions for more information). Parametric tests include tests proposed by Brown and Warner (1980) , Brown and Warner (1985) , Boehmer et al. (1991) , Patell (1976) , and Lamb (1995) . Nonparametric tests covered in estudy2 are tests described in Corrado and Zivney (1992) , McConnell and Muscarella (1985) , Boehmer et al. (1991) , Cowan (1992) , Corrado (1989) , Campbell and Wasley (1993) , Savickas (2003) , Kolari and Pynnonen (2010) . Furthermore, tests for the cumulative abnormal returns proposed by Brown and Warner (1985) and Lamb (1995) are included.

Getting started

Package details

Maintainer
LicenseGPL-3
Version0.8.5
URL http://github.com/irudnyts/estudy2
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("irudnyts/estudy2")
irudnyts/estudy2 documentation built on July 30, 2018, 9:09 p.m.