estudy2: An Implementation of Parametric and Nonparametric Event Study

An implementation of a most commonly used event study methodology, including both parametric and nonparametric tests. It contains variety aspects of the rate of return estimation (the core calculation is done in C++), as well as three classical for event study market models: mean adjusted returns, market adjusted returns and single-index market models. There are 6 parametric and 6 nonparametric tests provided, which examine cross-sectional daily abnormal return (see the documentation of the functions for more information). Parametric tests include tests proposed by Brown and Warner (1980) <doi:10.1016/0304-405X(80)90002-1>, Brown and Warner (1985) <doi:10.1016/0304-405X(85)90042-X>, Boehmer et al. (1991) <doi:10.1016/0304-405X(91)90032-F>, Patell (1976) <doi:10.2307/2490543>, and Lamb (1995) <doi:10.2307/253695>. Nonparametric tests covered in estudy2 are tests described in Corrado and Zivney (1992) <doi:10.2307/2331331>, McConnell and Muscarella (1985) <doi:10.1016/0304-405X(85)90006-6>, Boehmer et al. (1991) <doi:10.1016/0304-405X(91)90032-F>, Cowan (1992) <doi:10.1007/BF00939016>, Corrado (1989) <doi:10.1016/0304-405X(89)90064-0>, Campbell and Wasley (1993) <doi:10.1016/0304-405X(93)90025-7>, Savickas (2003) <doi:10.1111/1475-6803.00052>, Kolari and Pynnonen (2010) <doi:10.1093/rfs/hhq072>. Furthermore, tests for the cumulative abnormal returns proposed by Brown and Warner (1985) <doi:10.1016/0304-405X(85)90042-X> and Lamb (1995) <doi:10.2307/253695> are included.

Version: 0.8.4
Depends: R (≥ 3.1)
Imports: tseries (≥ 0.10-42), zoo (≥ 1.8-0), matrixStats (≥ 0.52.2), Rcpp (≥ 0.12.13)
LinkingTo: Rcpp
Suggests: knitr, rmarkdown, magrittr
Published: 2018-02-16
Author: Iegor Rudnytskyi [aut, cre]
Maintainer: Iegor Rudnytskyi <iegor.rudnytskyi at>
License: GPL-3
NeedsCompilation: yes
Materials: README
In views: Finance
CRAN checks: estudy2 results


Reference manual: estudy2.pdf
Vignettes: Introduction to estudy2
Package source: estudy2_0.8.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X El Capitan binaries: r-release: estudy2_0.8.4.tgz
OS X Mavericks binaries: r-oldrel: not available


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