car_parametric_tests: Returns the result of given event study parametric CAR tests.

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

Returns the result of given event study parametric CAR tests.

Description

Performs given tests to examine whether cumulative abnormal return (CAR) significantly differs from zero.

Usage

car_parametric_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.
tests	a list of tests' functions among car_brown_warner_1985 and car_lamb.

Details

car_parametric_tests performs specified tests among car_brown_warner_1985 and lamb and returns a list of these tests' results. If all = TRUE (by default), the function ignores the value of tests.

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

• car_mean: an average abnormal return 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

• Brown S.J., Warner J.B. Using Daily Stock Returns, The Case of Event Studies. Journal of Financial Economics, 14:3-31, 1985.

• Lamb R.P. An Exposure-Based Analysis of Property-Liability Insurer Stock Values around Hurricane Andrew. Journal of Risk and Insurance, 62(1):111-123, 1995.

See Also

car_brown_warner_1985 and car_lamb.

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_param <- 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_parametric_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_param <- car_parametric_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.