Linear Factor Model Base

Base class for multi-factor OLS models used in event studies. All factor models (Market Model, Fama-French, Carhart) share the same estimation approach: OLS regression of excess returns on factor returns during the estimation window.

See also

Other eventstudy-models: BHARModel, Carhart4FactorModel, ComparisonPeriodMeanAdjustedModel, DCCGARCHModel, FamaFrench3FactorModel, FamaFrench5FactorModel, GARCHModel, LogReturn, MarketAdjustedModel, MarketModel, ModelBase, ReturnCalculation, RollingWindowModel, SimpleReturn, VolatilityModel, VolumeModel

Super class

ModelBase -> LinearFactorModel

Public fields

model_name

Name of the model.

formula

The regression formula.

required_columns

Columns required in the data.

use_hac

Logical. Use HAC (Newey-West) standard errors.

hac_lag

Integer or NULL. Lag truncation for Newey-West.

Methods

Public methods

• LinearFactorModel$new()

• LinearFactorModel$fit()

• LinearFactorModel$abnormal_returns()

• LinearFactorModel$clone()

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LinearFactorModel$new()

Create a new LinearFactorModel.

Usage

LinearFactorModel$new(use_hac = FALSE, hac_lag = NULL)

Arguments

use_hac

Logical. Use HAC (Newey-West) standard errors.

hac_lag

Integer or NULL. Lag truncation for Newey-West.

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LinearFactorModel$fit()

Fit the linear factor model via OLS on the estimation window.

Usage

LinearFactorModel$fit(data_tbl)

Arguments

data_tbl

Data frame or tibble containing the data to fit.

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LinearFactorModel$abnormal_returns()

Calculate abnormal returns as observed minus predicted.

Usage

LinearFactorModel$abnormal_returns(data_tbl)

Arguments

data_tbl

Data frame or tibble.

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LinearFactorModel$clone()

The objects of this class are cloneable with this method.

Usage

LinearFactorModel$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.