MarketModel: Market Model

In wbach12/p9eventstudy: Eventstudy functions.

Description

This function calculates the normal returns using the market model. Returns either the residuals or the regressions.

Usage

MarketModel(return.data, market.data, residuals = TRUE)

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.
residuals	Do you want the residuals? Defaults to TRUE. If FALSE the regressions are returned.

Examples

MarketModel(return.data = ReturnData, market.data = MarketData, residuals = TRUE)
MarketModel(return.data = ReturnData, market.data = MarketData, residuals = FALSE)

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