rates_indx

<p>A <code>zoo</code> object containing daily rates of returns of S&amp;P 500 index
from 2019-04-01 to 2020-04-01. See examples of
<code><a rd-options="" href="/link/get_rates_from_prices?package=estudy2&version=0.10.0" data-mini-rdoc="estudy2::get_rates_from_prices">get_rates_from_prices</a></code> for the dataset generation.</p>

datasets

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.

Iegor Rudnytskyi

estudy2

An Implementation of Parametric and Nonparametric Event Study

rates_indx function

Format

<p>A <code>zoo</code> object containing daily rates of returns of S&amp;P 500 index
from 2019-04-01 to 2020-04-01. See examples of
<code><a rd-options='' href='get_rates_from_prices'>get_rates_from_prices</a></code> for the dataset generation.</p>

rates_indx: Rates of returns of S&P 500 index from 2019-04-01 to 2020-04-01

Description

Usage

Arguments

Format