Conduct a risk analysis by firm and evaluate the change of risk before and after an event. The model used is the Captial Asset Pricing Model.
Usage
evRisk(x, m = 50, r.free = "tbill", ...)
Arguments
x
a object from evReturn.
m
the number of days before and after the event date for estimating CAPM.
r.free
the column name of risk free asset in y.
...
additional arguments to be passed.
Value
Return a list object of class "evReturn" with the following components:
xa object from evReturn.
daEstdata used to estimate CAPM for the last firm as specified in code{firm}.
rbfitted CAPM for the last firm.
regregression coefficients by firm.
Details
This fits CAPM for each firm and reports the statistics for alpha, beta, and gamma. The statistics of gamma reveal the change of risk before and after the event.
References
Mei, B., and C. Sun. 2008. Event analysis of the impact of mergers and acquisitions on the financial performance of the U.S. forest products industry. Forest Policy and Economics 10(5):286-294.