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.
| Version: |
0.10.0 |
| Depends: |
R (≥ 4.1) |
| Imports: |
quantmod (≥ 0.4.18), zoo (≥ 1.8.9), matrixStats (≥ 0.60.0), Rcpp (≥ 1.0.7), curl (≥ 4.3.2) |
| LinkingTo: |
Rcpp |
| Suggests: |
knitr (≥ 1.33), rmarkdown (≥ 2.10), purrr (≥ 0.3.4), shiny (≥ 1.6.0), shinyFeedback (≥ 0.4.0), shinyWidgets (≥ 0.6.0), DT (≥ 0.19), bslib (≥ 0.2.5.1), stringr (≥ 1.4.0), magrittr (≥ 2.0.1), formattable (≥ 0.2.1), dplyr (≥ 1.0.7) |
| Published: |
2021-11-15 |
| Author: |
Iegor Rudnytskyi [aut, cre] |
| Maintainer: |
Iegor Rudnytskyi <iegor.rudnytskyi at gmail.com> |
| BugReports: |
https://github.com/irudnyts/estudy2/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/irudnyts/estudy2,
https://irudnyts.github.io/estudy2/ |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| In views: |
CausalInference, Finance |
| CRAN checks: |
estudy2 results |
Documentation:
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