event2car: get_car_events: Calculates 'CAR' (cumulative abnormal...

In event2car: Cumulative Abnormal Return(s) of Event(s) for Firm(s)

Description

The function applies the following steps to securities' rates of returns: A) calculate abnormal returns for estimation_period(s), B) predict abnormal returns for event period(s), C) aggregate the predicted abnormal returns to cumulative abnormal return(s) for event_dates. The package covers three models for the calculation of the cumulative abnomral returns: - Mean-Adjusted Model (mean_adj) - Market-Adjusted Model (mrkt_adj) - Within-Sample Marekt-Adjusted Model (mrkt_adj_within) This is the logic suggested by multiple scholars. See references below.

Usage

event2car(returns = returns, regressor = regressor,
  event_dates = event_dates, estimation_period = 250, car_lag = 0,
  car_lead = 5, market_model = c("mean_adj", "mrkt_adj",
  "mrkt_adj_within"))

Arguments

returns	an object of data.frame or zoo containing rates of returns of securities.
regressor	an object of the same class as returns containing regressors. The argument can be omitted, if market model is mean_adj.
event_dates	an object of class Date containing one event date or multiple event dates
estimation_period	an object of class intenger stating the number of days prior to the event over which the market model parameters are estimated. Default is 250 days. Note that the event period itself is not included in the event period to prevent the event from influencing the normal performance model parameter estimates.
car_lag	an object of class intenger measuring the start of the event window. The default is 1 day prior to the event date.
car_lead	an object of class intenger measuring the end of the event window. The default is 5 days after the event date.
market_model	market_model a character indicating the market model among mean_adj, mrkt_adj, and sim.

Details

The generic function is dispatched for such classes as zoo. (future versions of the package allow for classes of data.frame.) If market_model is mrkt_adj or sim and regressor has the length greater than one, the first element of regressor will be applied for each security in returns.

Value

an object of class data.frame which contains cumulative abnormal returns, the average cumulative abnormal return (controls for varying event period durations if non-trading days are in the period), the number of tradingdays, significance levels of the market-return-coefficient, significance level of the event-dummy-coefficient, and model fit (rquared) per securities per event date(s). Note that significance levels and rsqared are NA if market model is mean_adj.

References

MacKinlay, A.C. Event Studies in Economics and Finance. Journal of Economic Literature, 35(1):13-39, 1997.

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

Davies, R., Studnicka, Z. The heterogeneous impact of Brexit: Early indications from the FTSE. European Economic Review, 110:1-17, 2018.

event2car documentation built on June 18, 2019, 3:01 p.m.