For conducting own event studies in R, please install our EventStudy R-package from the CRAN repository: https://cran.r-project.org/web/packages/EventStudy/index.html.
Alternatively, you can also develop your own R code building on top of an earlier set of R-files we created (currently not available). Similar as when using our server-side research apps, you will need three CSV input files: one for stock returns, one for market returns, and the third one with the events of interests. The analysis is structured in five steps:
- Load the data with correct measurement scale
- Filtering firm and market data by the information from the event file, calculate returns
- Get the estimation and event window for firm and market data
- Fit the linear model on the estimation window
- Calculate the abnormal return, t-statistics and two-sided p-value for each abnormal return in the event window
Based on the results, you will be able to plot the abnormal return with 95%-confidence interval (see Figure 1).
If you need more advanced analysis or help with graphics, please make use of our R-package. It posesses the same capabilities as our server-side research apps and continues to evolve with these. Currently our R package is just available on github (CRAN submission is already done). You are able to install it from github:
-- Please consider using our free server-side abnormal return calculators to perform your event study, including all test statistics --