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Performs given tests to examine whether cumulative abnormal return (CAR) significantly differs from zero.
car_parametric_tests(
list_of_returns,
car_start,
car_end,
percentage = 90,
all = TRUE,
tests
)
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.
a logical value indicating whether all tests should be performed.
The default value is TRUE
.
a list of tests' functions among car_brown_warner_1985
and car_lamb
.
A data frame of the following columns:
name
: a name of the test
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
car_parametric_tests
performs specified tests among
car_brown_warner_1985
and lamb
and returns a list of these
tests' results. If all = TRUE
(by default), the function ignores the
value of tests
.
Brown S.J., Warner J.B. Using Daily Stock Returns, The Case of Event Studies. Journal of Financial Economics, 14:3-31, 1985.
Lamb R.P. An Exposure-Based Analysis of Property-Liability Insurer Stock Values around Hurricane Andrew. Journal of Risk and Insurance, 62(1):111-123, 1995.
# 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")
car_param <- 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_parametric_tests(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_param <- car_parametric_tests(
list_of_returns = securities_returns,
car_start = as.Date("2020-03-16"),
car_end = as.Date("2020-03-20")
)
# }
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