Event Study Analysis

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Documentation for package ‘eventstudies’ version 1.2.2

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eventstudies-package eventstudies: R package for conducting event studies
AggregateReturns Intra-day stock price returns data
constantMeanReturn Extract residuals over constant mean returns
eesDates Get event list for extreme event study analysis
eesInference Extreme event study inference estimation
eesSummary Summary statistics of extreme events
eventstudy Perform event study analysis
excessReturn Estimate excess returns over the market
get.clusters.formatted Get formatted clusters to perform extreme event study analysis (ees)
IndexReturns Market indice returns data
inference.bootstrap Bootstrap inference for event study estimator
inference.classic Classic T-inference for event study estimator
inference.wilcox Wilcox inference for event study estimator
KGEarningsDates Earnings announcement data for replication of a standard event study
KGMarketReturns Market indice returns data
KGStockReturns Stock price returns data
KGSurpriseCategory Classification of stocks
lmAMM Augmented market model (AMM) estimation
makeX Prepare regressors for computation of Augmented Market Models
manyfirmssubperiod.lmAMM Estimate exposure for many regressands over multiple periods
marketModel Extract residuals from a market model
OtherReturns Data set containing daily returns of Nifty index, USD INR, call momey rate, and S&P 500 index
phys2eventtime Convert data from physical to event time
RateCuts Dates of RBI key interest rate cuts
remap.cumprod Cumulative geometric values
remap.cumsum Cumulative values
remap.event.reindex Re-index value within event window
SplitDates Data set of events used to perform event study analysis
StockPriceReturns Stock price returns data
subperiod.lmAMM Estimate exposure for a single regressor over multiple periods
TerrorAttack Dates of terrorist attack
TerrorIndiceReturns Stock indice returns data