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

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) <DOI:10.1016/0304-405X(80)90002-1>, Brown and Warner (1985) <DOI:10.1016/0304-405X(85)90042-X>, Boehmer et al. (1991) <DOI:10.1016/0304-405X(91)90032-F>, Patell (1976) <DOI:10.2307/2490543>, and Lamb (1995) <DOI:10.2307/253695>. Nonparametric tests covered in estudy2 are tests described in Corrado and Zivney (1992) <DOI:10.2307/2331331>, McConnell and Muscarella (1985) <DOI:10.1016/0304-405X(85)90006-6>, Boehmer et al. (1991) <DOI:10.1016/0304-405X(91)90032-F>, Cowan (1992) <DOI:10.1007/BF00939016>, Corrado (1989) <DOI:10.1016/0304-405X(89)90064-0>, Campbell and Wasley (1993) <DOI:10.1016/0304-405X(93)90025-7>, Savickas (2003) <DOI:10.1111/1475-6803.00052>, Kolari and Pynnonen (2010) <DOI:10.1093/rfs/hhq072>. Furthermore, tests for the cumulative abnormal returns proposed by Brown and Warner (1985) <DOI:10.1016/0304-405X(85)90042-X> and Lamb (1995) <DOI:10.2307/253695> 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 21, 2020, 6:27 p.m.