car_nonparametric_tests: Returns the result of given event study nonparametric CAR...

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

Returns the result of given event study nonparametric CAR tests.

Description

Performs given tests to examine the statistical significance of the CAR of a given period.

Usage

car_nonparametric_tests(
  list_of_returns,
  car_start,
  car_end,
  percentage = 90,
  all = TRUE,
  tests
)

Arguments

list_of_returns	a list of objects of S3 class returns, each element of which is treated as a security.
car_start	an object of Date class giving the first date of the CAR period.
car_end	an object of Date class giving the last date of the CAR period.
percentage	a lowest allowed percentage of non-missing observation for each day to be incorporated into CAR. The default value is 90 percent.
all	a logical value indicating whether all tests should be performed. The default value is TRUE. Note, only car_rank_test will be performed.
tests	a list of tests' functions. Currently, only car_rank_test is allowed.

Details

Currently, car_nonparametric_tests performs only car_rank_test test. This function was developed for the sake of completeness and can be used for future extensions of the package.

Value

A data frame of the following columns:

• name: a name of the test

• car_start: the first date of the CAR period

• car_end: the last date of the CAR period

• average_percentage: an average share of non-missing observations over the CAR period

• statistic: a test's statistic

• number_of_days: the number of days in the CAR period

• significance: a significance of the statistic

References

• Corrado C.J. A Nonparametric Test for Abnormal Security-Price Performance in Event Studies. Journal of Financial Economics 23:385-395, 1989.

• Cowan A.R. Nonparametric Event Study Tests. Review of Quantitative Finance and Accounting, 2:343-358, 1992.

See Also

car_rank_test.

Examples

## Not run: 
library("magrittr")
rates_indx <- get_prices_from_tickers("^GSPC",
                                      start = as.Date("2019-04-01"),
                                      end = as.Date("2020-04-01"),
                                      quote = "Close",
                                      retclass = "zoo") %>%
    get_rates_from_prices(quote = "Close",
                          multi_day = TRUE,
                          compounding = "continuous")
tickers <- c("AMZN", "ZM", "UBER", "NFLX", "SHOP", "FB", "UPWK")
car_nonparam <- get_prices_from_tickers(tickers,
                                        start = as.Date("2019-04-01"),
                                        end = as.Date("2020-04-01"),
                                        quote = "Close",
                                        retclass = "zoo") %>%
    get_rates_from_prices(quote = "Close",
                          multi_day = TRUE,
                          compounding = "continuous") %>%
    apply_market_model(regressor = rates_indx,
                       same_regressor_for_all = TRUE,
                       market_model = "sim",
                       estimation_method = "ols",
                       estimation_start = as.Date("2019-04-01"),
                       estimation_end = as.Date("2020-03-13")) %>%
    car_nonparametric_tests(car_start = as.Date("2020-03-16"),
                            car_end = as.Date("2020-03-20"))

## End(Not run)
## The result of the code above is equivalent to:
data(securities_returns)
car_nonparam <- car_nonparametric_tests(
    list_of_returns = securities_returns,
    car_start = as.Date("2020-03-16"),
    car_end = as.Date("2020-03-20")
)

irudnyts/estudy2 documentation built on Nov. 18, 2024, 2:48 a.m.