| Name : R-crseEventStudy
| |
| Version : 1.2.2
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.1.11
| Date : 2024-06-14 11:26:16
|
| Group : Development/Libraries/Other
| Source RPM : R-crseEventStudy-1.2.2-lp153.1.11.src.rpm
|
| Size : 0.07 MB
| |
| Packager : (none)
| |
| Summary : A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies
|
Description :
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
