Risk Evaluation for Event Analysis
Conduct a risk analysis by firm and evaluate the change of risk before and after an event. The model used is the Captial Asset Pricing Model.
evRisk(x, m = 50, r.free = "tbill", ...)
x |
a object from |
m |
the number of days before and after the event date for estimating CAPM. |
r.free |
the column name of risk free asset in |
... |
additional arguments to be passed. |
This fits CAPM for each firm and reports the statistics for alpha, beta, and gamma. The statistics of gamma reveal the change of risk before and after the event.
Return a list object of class "evReturn" with the following components:
x |
a object from |
daEst |
data used to estimate CAPM for the last firm as specified in codefirm. |
rb |
fitted CAPM for the last firm. |
reg |
regression coefficients by firm. |
One method is defined as follows:
print:print selected outputs.
Changyou Sun (cs258@.msstate.edu)
Mei, B., and C. Sun. 2008. Event analysis of the impact of mergers and acquisitions on the financial performance of the U.S. forest products industry. Forest Policy and Economics 10(5):286-294.
data(daEsa)
hh <- evReturn(y = daEsa, firm = "wpp",
y.date = "date", index = "sp500", est.win = 250, digits = 3,
event.date = 19990505, event.win = 5)
hh2 <- update(hh, firm = c("tin", "wy", "pcl", "pch"))
kk <- evRisk(x = hh2, m = 100, r.free="tb3m")
kkPlease choose more modern alternatives, such as Google Chrome or Mozilla Firefox.