An Implementation of Parametric and Nonparametric Event Study


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Documentation for package ‘estudy2’ version 0.9.2

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apply_market_model Apply a market model and return a list of 'returns' objects.
boehmer Boehmer's parametric test (1991).
brown_warner_1980 Brown and Warner parametric test (1980).
brown_warner_1985 Brown and Warner parametric test (1985).
car_brown_warner_1985 Brown and Warner (1985) CAR test.
car_lamb Lamb's CAR test (1995).
car_nonparametric_tests Returns the result of given event study nonparametric CAR tests.
car_parametric_tests Returns the result of given event study parametric CAR tests.
car_rank_test Cowan's CAR test.
corrado_sign_test Corrado's sign test (1992).
generalized_sign_test An event study binomial sign test.
get_prices_from_tickers Get daily prices of securities.
get_rates_from_prices Calculate rates of return for given prices.
lamb Lamb's parametric test (1995).
modified_rank_test An event study modified rank test.
nonparametric_tests Returns the result of given event study nonparametric tests.
parametric_tests Returns the result of given event study parametric tests.
patell Patell's parametric test (1976).
prices Stock prices of eight major European insurance companies from 2000-01-03 to 2002-01-01
prices_indx Prices of of EURONEXT 100 index from 2000-01-03 to 2001-12-31
rank_test An event study rank test.
rates Rates of returns of eight major European insurance companies from 2000-01-04 to 2002-01-01
rates_indx Rates of returns of EURONEXT 100 index from 2000-01-04 to 2001-12-31
returns Constructor of an object of S3 class 'returns'.
securities_returns Returns of eight major insurance companies from 2000-01-04 to 2001-12-29
sign_test An event study simple binomial sign test.
t_test An event study t-test.
wilcoxon_test An event study Wilcoxon signed rank test.