Please make use of our EventStudy R-package for conducting event studies in R. It is an API-wrapper and thereby draws on the very same server-side capabilities as our website-accessible apps. Similarly, it continues to evolve with these and also requires the same 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.
You can download our R-package from the CRAN repository (https://cran.r-project.org/web/packages/EventStudy/index.html) or from our github account (R-package github). Your installation command from github is as follows: