Package: crseEventStudy
Type: Package
Title: A Robust and Powerful Test of Abnormal Stock Returns in
        Long-Horizon Event Studies
Version: 1.2.2
Date: 2022-02-22
Authors@R: c(person(given = "Siegfried", family = "Köstlmeier", role = c("aut", "cre"), email = "siegfried.koestlmeier@gmail.com", comment = c(ORCID = "0000-0002-7221-6981")), person(given = "Seppo", family = "Pynnonen", role = c("aut"), email = "sjp@uwasa.fi"))
Maintainer: Siegfried Köstlmeier <siegfried.koestlmeier@gmail.com>
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.
License: BSD_3_clause + file LICENSE
URL: https://github.com/skoestlmeier/crseEventStudy
Imports: methods, stats, sandwich
Suggests: testthat
Depends: R (>= 3.5)
Encoding: UTF-8
LazyData: true
NeedsCompilation: no
Packaged: 2022-02-22 14:38:50 UTC; LocalAdmin
Author: Siegfried Köstlmeier [aut, cre]
    (<https://orcid.org/0000-0002-7221-6981>),
  Seppo Pynnonen [aut]
Repository: CRAN
Date/Publication: 2022-02-23 14:30:02 UTC
Built: R 4.3.3; ; 2025-01-24 06:12:47 UTC; unix
