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crseEventStudy: A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies

Based on Dutta et al. (2018) <doi:10.1016/j.jempfin.2018.02.004>, this package provides their standardized test for abnormal returns in long-horizon event studies. The methods used improve the major weaknesses of size, power, and robustness of long-run statistical tests described in Kothari/Warner (2007) <doi:10.1016/B978-0-444-53265-7.50015-9>. Abnormal returns are weighted by their statistical precision (i.e., standard deviation), resulting in abnormal standardized returns. This procedure efficiently captures the heteroskedasticity problem. Clustering techniques following Cameron et al. (2011) <doi:10.1198/jbes.2010.07136> are adopted for computing cross-sectional correlation robust standard errors. The statistical tests in this package therefore accounts for potential biases arising from returns' cross-sectional correlation, autocorrelation, and volatility clustering without power loss.

Version: 1.2.2
Depends: R (≥ 3.5)
Imports: methods, stats, sandwich
Suggests: testthat
Published: 2022-02-23
DOI: 10.32614/CRAN.package.crseEventStudy
Author: Siegfried Köstlmeier ORCID iD [aut, cre], Seppo Pynnonen [aut]
Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier at gmail.com>
License: BSD_3_clause + file LICENSE
URL: https://github.com/skoestlmeier/crseEventStudy
NeedsCompilation: no
In views: Finance
CRAN checks: crseEventStudy results

Documentation:

Reference manual: crseEventStudy.pdf

Downloads:

Package source: crseEventStudy_1.2.2.tar.gz
Windows binaries: r-devel: crseEventStudy_1.2.2.zip, r-release: crseEventStudy_1.2.2.zip, r-oldrel: crseEventStudy_1.2.2.zip
macOS binaries: r-release (arm64): crseEventStudy_1.2.2.tgz, r-oldrel (arm64): crseEventStudy_1.2.2.tgz, r-release (x86_64): crseEventStudy_1.2.2.tgz, r-oldrel (x86_64): crseEventStudy_1.2.2.tgz
Old sources: crseEventStudy archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.