crseEventStudy
A Robust and Powerful Test of Abnormal Stock Returns in Long-Horizon Event Studies
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.2.2 |
rolling linux/jammy R-4.5 | crseEventStudy_1.2.2.tar.gz |
71.4 KiB |
1.2.2 |
rolling linux/noble R-4.5 | crseEventStudy_1.2.2.tar.gz |
71.3 KiB |
1.2.2 |
rolling source/ R- | crseEventStudy_1.2.2.tar.gz |
53.8 KiB |
1.2.2 |
latest linux/jammy R-4.5 | crseEventStudy_1.2.2.tar.gz |
71.4 KiB |
1.2.2 |
latest linux/noble R-4.5 | crseEventStudy_1.2.2.tar.gz |
71.3 KiB |
1.2.2 |
latest source/ R- | crseEventStudy_1.2.2.tar.gz |
53.8 KiB |
1.2.2 |
2026-04-26 source/ R- | crseEventStudy_1.2.2.tar.gz |
53.8 KiB |
1.2.2 |
2026-04-23 source/ R- | crseEventStudy_1.2.2.tar.gz |
53.8 KiB |
1.2.2 |
2026-04-09 windows/windows R-4.5 | crseEventStudy_1.2.2.zip |
74.9 KiB |
1.2.2 |
2025-04-20 source/ R- | crseEventStudy_1.2.2.tar.gz |
53.8 KiB |