[Eventstudies-commits] r395 - pkg/R

[noreply at r-forge.r-project.org]

Author: chiraganand
Date: 2014-11-23 11:22:36 +0100 (Sun, 23 Nov 2014)
New Revision: 395

Modified:
   pkg/R/eventstudy.R
Log:
Fixed calculation of excess returns.

Modified: pkg/R/eventstudy.R
===================================================================
--- pkg/R/eventstudy.R	2014-11-22 13:35:33 UTC (rev 394)
+++ pkg/R/eventstudy.R	2014-11-23 10:22:36 UTC (rev 395)
@@ -193,8 +193,7 @@
         model <- excessReturn(firm$z.e[estimation.period, "firm.returns"],
                               firm$z.e[estimation.period, "market.returns"])
 
-        abnormal.returns <- firm$z.e[event.period, "firm.returns"] - model$coefficients[1] -
-          (model$coefficients[2] * firm$z.e[event.period, "market.returns"])
+        abnormal.returns <- model
 
         return(abnormal.returns)
       })