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

Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
irudnyts/estudy2 documentation built on July 30, 2018, 9:09 p.m.