Market Model — MarketModel • EventStudy

The Market Model is a widely used method in event studies to estimate the expected returns of a stock and calculate its abnormal returns during an event window. The model is based on a simple linear regression framework and captures the relationship between a stock’s return and the return of a market index, such as the S&P 500 or the Dow Jones Industrial Average. The underlying assumption of the Market Model is that a stock’s return is primarily influenced by market movements, along with a stock-specific idiosyncratic component.

Super class

ModelBase -> MarketModel

Public fields

model_name: Name of the model.
formula: The formula applied for calculating the market model
use_hac: Logical. Use HAC (Newey-West) standard errors.
hac_lag: Integer or NULL. Lag truncation for Newey-West. NULL uses the automatic bandwidth selection.

Methods

`MarketModel$new()`

Create a new MarketModel.

Usage

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

Arguments

use_hac: Logical. Use HAC (Newey-West) standard errors. Requires the sandwich package.
hac_lag: Integer or NULL. Lag truncation for Newey-West.

`MarketModel$set_formula()`

Set the formula

Usage

MarketModel$set_formula(formula)

Arguments

formula: A formula.

`MarketModel$fit()`

Fit the model with given data.

Usage

MarketModel$fit(data_tbl)

Arguments

data_tbl: Data frame or tibble containing the data to fit.

`MarketModel$abnormal_returns()`

Calculate the abnormal returns with given data.

Usage

MarketModel$abnormal_returns(data_tbl)

Arguments

data_tbl: Data frame or tibble containing the data to calculate abnormal returns.

`MarketModel$clone()`

The objects of this class are cloneable with this method.

Usage

MarketModel$clone(deep = FALSE)

Arguments

deep: Whether to make a deep clone.