Calendar-Time Portfolio Test

Aggregates event-firm returns into calendar-time portfolios and tests whether the portfolio intercept (alpha) is significantly different from zero. This approach naturally handles cross-sectional dependence that arises when events cluster in calendar time.

For each relative event day, the test forms an equal-weighted portfolio of all event firms' abnormal returns and computes a t-statistic of the mean portfolio return.

Super class

TestStatisticBase -> CalendarTimePortfolioTest

Public fields

name

Short code of the test statistic.

Methods

Public methods

• CalendarTimePortfolioTest$compute()

• CalendarTimePortfolioTest$clone()

Inherited methods

• TestStatisticBase$initialize()

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CalendarTimePortfolioTest$compute()

Computes the calendar-time portfolio test.

Usage

CalendarTimePortfolioTest$compute(data_tbl, model)

Arguments

data_tbl

The data for multiple events with calculated abnormal returns.

model

The fitted models (unused directly).

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CalendarTimePortfolioTest$clone()

The objects of this class are cloneable with this method.

Usage

CalendarTimePortfolioTest$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.