evRisk {erer} | R Documentation |
Risk Evaluation for Event Analysis
Description
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 |
m |
the number of days before and after the event date for estimating CAPM. |
r.free |
the column name of risk free asset in |
... |
additional arguments to be passed. |
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.
Value
Return a list object of class "evReturn" with the following components:
x |
a object from |
daEst |
data used to estimate CAPM for the last firm as specified in codefirm. |
rb |
fitted CAPM for the last firm. |
reg |
regression coefficients by firm. |
Methods
One method is defined as follows:
print
:print selected outputs.
Author(s)
Changyou Sun (cs258@msstate.edu)
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.
See Also
Examples
data(daEsa)
hh <- evReturn(y = daEsa, firm = "wpp",
y.date = "date", index = "sp500", est.win = 250, digits = 3,
event.date = 19990505, event.win = 5)
hh2 <- update(hh, firm = c("tin", "wy", "pcl", "pch"))
kk <- evRisk(x = hh2, m = 100, r.free="tb3m")
kk