brown_warner_1985 {estudy2} | R Documentation |
An event study parametric test described in Brown and Warner 1985.
brown_warner_1985(list_of_returns, event_start, event_end)
list_of_returns |
a list of objects of S3 class |
event_start |
an object of |
event_end |
an object of |
Performs a parametric test for event study, which is described in Brown and Warner 1985, which is a traditional event study approach. This test does not require cross-sectional independence but is non-robust to an event-induced variance. The test examines the hypothesis whether the theoretical cross-sectional expected value for a given day is equal to zero. The standard deviation in statistics is estimated as the cross-sectional standard deviation of companies' means, estimated on the estimation period. It calculates statistics even if event window and estimation period are overlapped (intersect). The critical values are Student's t-distributed (no approximation in limit). The significance levels of α are 0.1, 0.05, and 0.01 (marked respectively by *, **, and ***).
A data frame of the following columns:
date
: a calendar date
weekday
: a day of the week
percentage
: a share of non-missing observations for a given
day
mean
: an average abnormal return
bw_1985_stat
: a Brown and Warner (1985) test statistic
bw_1985_signif
: a significance of the statistic
Brown S.J., Warner J.B. Using Daily Stock Returns, The Case of Event Studies. Journal of Financial Economics, 14:3-31, 1985.
parametric_tests
, brown_warner_1980
,
t_test
, patell
, boehmer
, and
lamb
.
## 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") 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")) %>% brown_warner_1985(event_start = as.Date("2001-09-11"), event_end = as.Date("2001-09-28")) ## End(Not run) ## The result of the code above is equivalent to: data(securities_returns) brown_warner_1985(list_of_returns = securities_returns, event_start = as.Date("2001-09-11"), event_end = as.Date("2001-09-28"))