estudy2: An Implementation of Parametric and Nonparametric Event Study
An implementation of a most commonly used event study methodology,
including both parametric and nonparametric tests. It contains variety
aspects of the rate of return estimation (the core calculation is done in
C++), as well as three classical for event study market models: mean
adjusted returns, market adjusted returns and single-index market models.
There are 6 parametric and 6 nonparametric tests provided, which examine
cross-sectional daily abnormal return (see the documentation of the
functions for more information). Parametric tests include tests proposed by
Brown and Warner (1980) <doi:10.1016/0304-405X(80)90002-1>, Brown and Warner
(1985) <doi:10.1016/0304-405X(85)90042-X>, Boehmer et al. (1991)
<doi:10.1016/0304-405X(91)90032-F>, Patell (1976) <doi:10.2307/2490543>, and
Lamb (1995) <doi:10.2307/253695>. Nonparametric tests covered in estudy2 are
tests described in Corrado and Zivney (1992) <doi:10.2307/2331331>,
McConnell and Muscarella (1985) <doi:10.1016/0304-405X(85)90006-6>,
Boehmer et al. (1991) <doi:10.1016/0304-405X(91)90032-F>, Cowan (1992)
<doi:10.1007/BF00939016>, Corrado (1989) <doi:10.1016/0304-405X(89)90064-0>,
Campbell and Wasley (1993) <doi:10.1016/0304-405X(93)90025-7>, Savickas (2003)
<doi:10.1111/1475-6803.00052>, Kolari and Pynnonen (2010)
<doi:10.1093/rfs/hhq072>. Furthermore, tests for the cumulative
abnormal returns proposed by Brown and Warner (1985)
<doi:10.1016/0304-405X(85)90042-X> and Lamb (1995) <doi:10.2307/253695>
are included.
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=estudy2
to link to this page.