AbnormalReturns: Abnormal Returns

In wbach12/p9eventstudy: Eventstudy functions.

Description

This function calculates the abnormal returns based on the input and aggregates them across assets. Returns the normal residuals, AR, CAR, SCAR, and their averages over multiple assets.

Usage

AbnormalReturns(return.data, market.data, model, event.date, event.window,
  estimation.window)

Arguments

return.data	should be a data frame containing dates (Date) in the first column and returns in the rest.
market.data	should be a data frame containing dates (Date) in the first column and market returns in the second.
model	should be a chracter string: "constant-mean-return" or "market"
event.date	should be a single row of the data frame created by the MakeEvents function.
event.window	should be a vector of two elements representing the number of observations prior to and after the event date.
estimation.window	is a numeric value representing the number of observations to estimate the normal returns over.

Examples

Examples
AbnormalReturns(return.data = ReturnData, market.data = MarketData, model = "constant-mean-return",
event.window = c(10,10), estimation.window = 90)
AbnormalReturns(return.data = ReturnData, market.data = MarketData, model = "market",
event.window = c(10,10), estimation.window = 90)

wbach12/p9eventstudy documentation built on May 4, 2019, 7:43 p.m.