eventstudies (version 1.2.2)

excessReturn: Estimate excess returns over the market

Description

This function estimates excess returns over the market. If the firm return is “firm.returns” and market return is “market.returns”, then output will be “firm.returns” less “market.returns”.

Usage

excessReturn(firm.returns, market.returns)

Arguments

firm.returns

a zoo timeseries with firm returns from which excess returns from market are to be calculated.

market.returns

a zoo object containing market index returns.

Value

Excess market return

Examples

# NOT RUN {
data(StockPriceReturns)
data(OtherReturns)

er.result <- excessReturn(firm.returns = StockPriceReturns,
			  market.returns = OtherReturns$NiftyIndex)

tail(merge(excessReturn = er.result$Infosys,
           Infosys = StockPriceReturns$Infosys,
           NiftyIndex = OtherReturns$NiftyIndex,
           all=FALSE))
# }