Hi all I am looking for an add-in. I am currently working on something and I use daily data of closing stock prices. As not all companies are traded daily (e.g. on monday, then on thursday etc) at the stock exchange, there is satistically a problem. There are some papers which explain the approach to handle infrequent trading of a stock or non synchronous data and beta estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins which do address this topic, but i couldn't find any. I have to calculated daily returns from the daily colsing stock prices. Afterwards I want to estimate the alphas and betas of the market model for a given timeperiod. Then I calculate abnormal returns and CAR's and assess their significance (event study methodology with the market model). Does someone have any idea on how I should handle these problems or a link for an appropriate package? For implementing these statistics on my own, I knowledge in R is not sufficient. Kind Regards AM -- View this message in context: http://r.789695.n4.nabble.com/looking-for-an-add-in-for-daily-data-analysis-tp4589711p4589711.html Sent from the R help mailing list archive at Nabble.com.
R. Michael Weylandt
2012-Apr-26 14:29 UTC
[R] looking for an add-in for daily data analysis
Perhaps PerformanceAnalytics and the CAPM.* functions. Michael On Thu, Apr 26, 2012 at 8:46 AM, and_mue <and_mueller at bluewin.ch> wrote:> Hi all > > I am looking for an add-in. I am currently working on something and I use > daily data of closing stock prices. As not all companies are traded daily > (e.g. on monday, then on thursday etc) at the stock exchange, there is > satistically a problem. There are some papers which explain the approach to > handle infrequent trading of a stock or non synchronous data and beta > estimation (Dimson, 1979; Scholes & Williams, 1977). I looked for add-ins > which do address this topic, but i couldn't find any. > > I have to calculated daily returns from the daily colsing stock prices. > Afterwards I want to estimate the alphas and betas of the market model for a > given timeperiod. Then I calculate abnormal returns and CAR's and assess > their significance (event study methodology with the market model). > > Does someone have any idea on how I should handle these problems or a link > for an appropriate package? For implementing these statistics on my own, I > knowledge in R is not sufficient. > > Kind Regards > AM > > -- > View this message in context: http://r.789695.n4.nabble.com/looking-for-an-add-in-for-daily-data-analysis-tp4589711p4589711.html > Sent from the R help mailing list archive at Nabble.com. > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.