event2car {event2car} | R Documentation |
CAR
(cumulative abnormal returns) for firm(s) and event(s)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.
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"))
returns |
an object of |
regressor |
an object of the same class as |
event_dates |
an object of class |
estimation_period |
an object of class |
car_lag |
an object of class |
car_lead |
an object of class |
market_model |
market_model a character indicating the market model among
|
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
.
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
.
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.