car_nonparametric_tests {estudy2} | R Documentation |
Performs given tests to examine the statistical significance of the CAR of a given period.
car_nonparametric_tests(list_of_returns, car_start, car_end, percentage = 90, all = TRUE, tests)
list_of_returns |
a list of objects of S3 class |
car_start |
an object of |
car_end |
an object of |
percentage |
a lowest allowed percentage of non-missing observation for each day to be incorporated into CAR. The default value is 90 percent. |
all |
a logical value indicating whether all tests should be performed.
The default value is |
tests |
a list of tests' functions. Currently, only |
Currently, car_nonparametric_tests
performs only car_rank_test
test. This function was developed for the sake of completeness and can be
used for future extensions of the package.
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
statistic
: a test's statistic
number_of_days
: the number of days in the CAR period
significance
: a significance of the statistic
Corrado C.J. A Nonparametric Test for Abnormal Security-Price Performance in Event Studies. Journal of Financial Economics 23:385-395, 1989.
Cowan A.R. Nonparametric Event Study Tests. Review of Quantitative Finance and Accounting, 2:343-358, 1992.
## Not run: library("magrittr") rates_indx <- get_prices_from_tickers("^STOXX50E", start = as.Date("2000-01-01"), end = as.Date("2002-01-01"), quote = "Close", retclass = "zoo") %>% get_rates_from_prices(quote = "Close", multi_day = TRUE, compounding = "continuous") tickers <- c("ALV.DE", "CS.PA", "G.MI", "HNR1.HA", "HSX.L", "MUV2.DE", "RSA.L", "TOP.CO") nine_eleven_car_param <- get_prices_from_tickers(tickers, start = as.Date("2000-01-01"), end = as.Date("2002-01-01"), 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("2001-03-26"), estimation_end = as.Date("2001-09-10")) %>% car_nonparametric_tests(car_start = as.Date("2001-09-11"), car_end = as.Date("2001-09-28")) ## End(Not run) ## The result of the code above is equivalent to: data(securities_returns) nine_eleven_car_param <- car_nonparametric_tests( list_of_returns = securities_returns, car_start = as.Date("2001-09-11"), car_end = as.Date("2001-09-28") )