corrado_sign_test: Corrado's sign test (1992).

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

Corrado's sign test (1992).

Description

An event study nonparametric test described in Corrado and Zivney 1992.

Usage

corrado_sign_test(list_of_returns, event_start, event_end)

Arguments

list_of_returns	a list of objects of S3 class returns, each element of which is treated as a security.
event_start	an object of Date class giving the first date of the event period.
event_end	an object of Date class giving the last date of the event period.

Details

Performs a nonparametric test for the event study, which is described in Corrado and Zivney 1992. This test is similar to procedure, described in Brown and Warner 1985 (t-ratio), but instead of using abnormal returns, the test uses G_{i,t} = sign(A_{i,t} - median(A_i)). sign and median are ones, which have the same definition as R functions. For this test the estimation period and the event period must not overlap, otherwise an error will be thrown. The sign test procedure avoids the misspecification of tests, which assumes symmetry around zero of abnormal returns (the median equals to zero). For a single day the performance of this test is proven to be better than classical Brown and Warner's test (without event-induced variance). This test is dominated by rank test. The significance levels of \alpha are 0.1, 0.05, and 0.01 (marked respectively by *, **, and ***).

Value

A data frame of the following columns:

• date: a calendar date

• weekday: a day of the week

• percentage: a share of non-missing observations for a given day

• csign_stat: a Corrado's sign test statistic

• csign_signif: a significance of the statistic

References

Corrado C.J., Zivney T.L. The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns. Journal of Financial and Quantitative Analysis, 27(3):465-478, 1992.

See Also

nonparametric_tests, sign_test, generalized_sign_test, rank_test, modified_rank_test, and wilcoxon_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")
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")) %>%
    corrado_sign_test(event_start = as.Date("2020-03-16"),
                      event_end = as.Date("2020-03-20"))

## End(Not run)
## The result of the code above is equivalent to:
data(securities_returns)
corrado_sign_test(list_of_returns = securities_returns,
                  event_start =  as.Date("2020-03-16"),
                  event_end = as.Date("2020-03-20"))

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