eventstudy2

eventstudy2 allows the user to analyze capital market reactions to corporate events. Complex test statistics for (cumulative) average abnormal returns are automatically calculated for the days surrounding the event day. The user is allowed to pre-define the estimation window, the event window and up to 10 CAR windows. Multifactor models with up to 5 factors are supported. Further models are available: raw returns, constant mean returns and buy-and-hold returns (raw or relative to market returns).

作者： 公卫论坛

Thomas Kaspereit 公卫百科

thomas.kaspereit@uni-oldenburg.de 公卫论坛