estudy2

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.