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A parametric test proposed by Brown and Warner 1995 that examines whether or not cumulative abnormal return (CAR) significantly differs from zero.
car_brown_warner_1985(list_of_returns, car_start, car_end, percentage = 90)
a list of objects of S3 class returns
, each
element of which is treated as a security.
an object of Date
class giving the first date of
the CAR period.
an object of Date
class giving the last date of the
CAR period.
a lowest allowed percentage of non-missing observation for each day to be incorporated into CAR. The default value is 90 percent.
name
: a name of the test, i.e.
"car_brown_warner_1985"
car_start
: the first date of the CAR period
car_end
: the last date of the CAR period
average_percentage
: an average share of non-missing
observations over the CAR period
car_mean
: an average abnormal return over the CAR period
statistic
: a test's statistic
number_of_days
: the number of days in the CAR period
significance
: a significance of the statistic
This function performs a test proposed by Brown and Warner 1985 to
investigate whether CAR significantly differs from zero. This tests uses the
variance, specified by Brown and Warner 1985. The advantage of this test is
allowance for correlated cross-sectional returns. However, the test does not
use autocorrelation adjustment. The test statistic is close enough to
statistic, produced by car_lamb
. The critical values are
standard normal. The significance levels of
Brown S.J., Warner J.B. Using Daily Stock Returns, The Case of Event Studies. Journal of Financial Economics, 14:3-31, 1985.
# NOT RUN {
library("magrittr")
rates_indx <- get_prices_from_tickers("^GSPC",
start = as.Date("2019-04-01"),
end = as.Date("2020-04-01"),
quote = "Close",
retclass = "zoo") %>%
get_rates_from_prices(quote = "Close",
multi_day = TRUE,
compounding = "continuous")
tickers <- c("AMZN", "ZM", "UBER", "NFLX", "SHOP", "FB", "UPWK")
get_prices_from_tickers(tickers,
start = as.Date("2019-04-01"),
end = as.Date("2020-04-01"),
quote = "Close",
retclass = "zoo") %>%
get_rates_from_prices(quote = "Close",
multi_day = TRUE,
compounding = "continuous") %>%
apply_market_model(regressor = rates_indx,
same_regressor_for_all = TRUE,
market_model = "sim",
estimation_method = "ols",
estimation_start = as.Date("2019-04-01"),
estimation_end = as.Date("2020-03-13")) %>%
car_brown_warner_1985(car_start = as.Date("2020-03-16"),
car_end = as.Date("2020-03-20"))
# }
# NOT RUN {
## The result of the code above is equivalent to:
data(securities_returns)
car_brown_warner_1985(
list_of_returns = securities_returns,
car_start = as.Date("2020-03-16"),
car_end = as.Date("2020-03-20")
)
# }
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