Package: crseEventStudy 1.2.2
crseEventStudy: A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies
Based on Dutta et al. (2018) <doi:10.1016/j.jempfin.2018.02.004>, this package provides their standardized test for abnormal returns in long-horizon event studies. The methods used improve the major weaknesses of size, power, and robustness of long-run statistical tests described in Kothari/Warner (2007) <doi:10.1016/B978-0-444-53265-7.50015-9>. Abnormal returns are weighted by their statistical precision (i.e., standard deviation), resulting in abnormal standardized returns. This procedure efficiently captures the heteroskedasticity problem. Clustering techniques following Cameron et al. (2011) <doi:10.1198/jbes.2010.07136> are adopted for computing cross-sectional correlation robust standard errors. The statistical tests in this package therefore accounts for potential biases arising from returns' cross-sectional correlation, autocorrelation, and volatility clustering without power loss.
Authors:
crseEventStudy_1.2.2.tar.gz
crseEventStudy_1.2.2.zip(r-4.5)crseEventStudy_1.2.2.zip(r-4.4)crseEventStudy_1.2.2.zip(r-4.3)
crseEventStudy_1.2.2.tgz(r-4.4-any)crseEventStudy_1.2.2.tgz(r-4.3-any)
crseEventStudy_1.2.2.tar.gz(r-4.5-noble)crseEventStudy_1.2.2.tar.gz(r-4.4-noble)
crseEventStudy_1.2.2.tgz(r-4.4-emscripten)crseEventStudy_1.2.2.tgz(r-4.3-emscripten)
crseEventStudy.pdf |crseEventStudy.html✨
crseEventStudy/json (API)
# Install 'crseEventStudy' in R: |
install.packages('crseEventStudy', repos = c('https://skoestlmeier.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/skoestlmeier/crseeventstudy/issues
- demo_returns - Total returns for E.ON AG and RWE AG
- demo_share_repurchases - Abnormal standardized returns for german stock repurchase announcements
empirical-researchevent-studyfinancefinancial-analysis
Last updated 3 years agofrom:aa6e660837. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 22 2024 |
R-4.5-win | OK | Nov 22 2024 |
R-4.5-linux | OK | Nov 22 2024 |
R-4.4-win | OK | Nov 22 2024 |
R-4.4-mac | OK | Nov 22 2024 |
R-4.3-win | OK | Nov 22 2024 |
R-4.3-mac | OK | Nov 22 2024 |