Keywords: event study methodology
Webpages:
https://CRAN.R-project.org/package=eventstudies,
https://github.com/nipfpmf/eventstudies This
R package allows a dataset to be studied in an event-time frame and perform parametric/non-parametric analysis using several inference procedures. There are currently three adjustment functions and three inference strategies including the classical event study using market model and t-test (Brown and Warner 1985) along with an implementation of Augmented Market Model (Patnaik and Shah 2010). The package contains a user-friendly all encompassing function eventstudy to conduct an event study in one line of
R code with other functions to provide more flexibility and control. It can also be used to develop novel research methods in event studies (Patnaik, Shah, and Singh 2013).
References Brown, Stephen J, and Jerold B Warner. 1985. “Using Daily Stock Returns: The Case of Event Studies.”
Journal of Financial Economics 14 (1). Elsevier: 3–31.
Patnaik, Ila, and Ajay Shah. 2010. “Does the Currency Regime Shape Unhedged Currency Exposure?”
Journal of International Money and Finance 29 (5): 760–69.
Patnaik, Ila, Ajay Shah, and Nirvikar Singh. 2013. “Foreign Investors Under Stress: Evidence from India.”
International Finance 16 (2): 213–44.
