asr: Abnormal standardized returns (ASR) in long-horizon event...

In skoestlmeier/crseEventStudy: A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies

Abnormal standardized returns (ASR) in long-horizon event studies

Description

asr implements the calculation of abnormal standardized returns.

Abnormal standardized returns are defined as the excess standardized returns relative to the standardized return of a matching control firm or relative to the average of standardized returns of a matching control portfolio. Standardized returns are defined as sr_{it} = \frac{r_{it}}{s_{it}} where s_{it} is a standard deviation estimator of log returns r_{it}.

Usage

asr(event, control, logret = FALSE)

Arguments

event	a vector or time series of returns.
control	a vector or time series of returns.
logret	An object of class "logical": If logret is FALSE, then both return-series 'event' and 'control' will be converted into log-returns before calculating abnormal standardized returns. Set logret to TRUE, if both return-series are already log-returns.

Value

asr returns a vector of class "numeric":

ASR	Vector containing abnormal standardized returns.

References

Dutta, A., Knif, J., Kolari, J.W., Pynnonen, S. (2018): A robust and powerful test of abnormal stock returns in long-horizon event studies. Journal of Empirical Finance, 47, p. 1-24. doi: 10.1016/j.jempfin.2018.02.004.

Examples

## load demo_returns
## calculate mean of daily abnormal standardized returns from 2015-01-01 to 2017-12-31
## with E.ON AG as event firm and RWE AG as control firm.
data(demo_returns)
ASR <- asr(event=demo_returns$EON, control=demo_returns$RWE, logret=FALSE)
mean(ASR)

skoestlmeier/crseEventStudy documentation built on March 31, 2022, 7:40 a.m.