Aggregates event-firm returns into calendar-time portfolios and tests whether the portfolio intercept (alpha) is significantly different from zero, using the Brown and Warner (1980, 1985) crude-dependence-adjustment: the standard deviation of the ESTIMATION-window cross-event average abnormal return (AAR) series is used as the (calendar-)time-series standard deviation, so the denominator is independent of the event window and of any event-window shock magnitude.
For each relative event day, the test forms an equal-weighted portfolio
of all event firms' abnormal returns and computes
\(caltime_t = AAR_t / sd(AAR_{estimation})\), with degrees of freedom
n_estimation_days - 1 (the number of finite estimation-window AAR
observations), exposed as attr(result, "caltime_df").
References
Brown, S. J. and Warner, J. B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3), 205–258.
Brown, S. J. and Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31.
See also
Other eventstudy-statistics:
ARTTest,
BHARTTest,
BMPTest,
CARTTest,
CSectTTest,
GeneralizedSignTest,
KolariPynnonenTest,
MultiEventStatisticsSet,
PatellZTest,
RankTest,
SignTest,
SingleEventStatisticsSet,
StatisticsSetBase,
TestStatisticBase,
adjust_p_values(),
bootstrap_test(),
car_by_group(),
car_quantiles(),
cross_sectional_regression(),
model_diagnostics(),
pretrend_test(),
simulate_event_study(),
validate_task()
Super class
TestStatisticBase -> CalendarTimePortfolioTest