CRAN/E | estudy2

estudy2

An Implementation of Parametric and Nonparametric Event Study

Installation

About

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.

github.com/irudnyts/estudy2
irudnyts.github.io/estudy2/
Bug report File report

Key Metrics

Version 0.10.0
R ≥ 4.1
Published 2021-11-15 865 days ago
Needs compilation? yes
License GPL-3
CRAN checks estudy2 results

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Maintainer

Maintainer

Iegor Rudnytskyi

iegor.rudnytskyi@gmail.com

Authors

Iegor Rudnytskyi

aut / cre

Material

README
NEWS
Reference manual
Package source

In Views

CausalInference
Finance

Vignettes

Introduction to estudy2

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

estudy2 archive

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

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

LinkingTo

Rcpp