Event Study JEF shares earnings 2021

library(estudy2)
## Warning: package 'estudy2' was built under R version 4.0.5
tickers <- c("JEF","SPY")
prices <- get_prices_from_tickers(tickers, 
                                  start = as.Date("2021-03-01"),
                                  end = as.Date("2021-06-30"),
                                  quote = "Close",
                                  retclass = "zoo")

Download Index

library(magrittr)

#Get Returns

library(magrittr)
 rates <- get_rates_from_prices(prices,
                                quote = "Close",
                                multi_day = FALSE,
                               compounding = "continuous")

rates_indx <- get_rates_from_prices(prices_indx, 
                                    quote = "Close",
                                    multi_day = FALSE,
                                    compounding = "continuous")

#Apply Model

    securities_returns <- apply_market_model(
    rates = rates,
    regressors = rates_indx,
    same_regressor_for_all = TRUE,
    market_model = "mean_adj",
    estimation_method = "ols",
    estimation_start = as.Date("2021-03-30"),
    estimation_end = as.Date("2021-06-15")
)




parametric_tests(securities_returns,all = TRUE,
                 event_start = as.Date("2021-06-16"),
                 event_end = as.Date("2021-06-30"))
##          date   weekday percentage          mean bw_1980_stat bw_1980_signif
## 1  2021-06-16 Wednesday        100  0.0056419923   0.61018077               
## 2  2021-06-17  Thursday        100 -0.0274088171  -2.96426018            ***
## 3  2021-06-18    Friday        100 -0.0227912270  -2.46486838             **
## 4  2021-06-21    Monday        100  0.0176301875   1.90670259              *
## 5  2021-06-22   Tuesday        100  0.0009077009   0.09816774               
## 6  2021-06-23 Wednesday        100  0.0101709850   1.09999077               
## 7  2021-06-24  Thursday        100  0.0155207847   1.67857095              *
## 8  2021-06-25    Friday        100  0.0116680791   1.26190131               
## 9  2021-06-28    Monday        100 -0.0041246959  -0.44608536               
## 10 2021-06-29   Tuesday        100  0.0335062259   3.62369419            ***
##    bw_1985_stat bw_1985_signif t_test_stat t_test_signif
## 1    0.52462656                  0.4500124              
## 2   -2.54863757             **  -1.0631518              
## 3   -2.11926611             **  -4.9051895              
## 4    1.63936145                  3.7414211              
## 5    0.08440352                  0.2902006              
## 6    0.94575969                  0.8025435              
## 7    1.44321642                  1.4214644              
## 8    1.08496855                  1.2388163              
## 9   -0.38353917                 -0.8518259              
## 10   3.11561151            ***   0.9778640

The Earnings announcement was 9/29/2021, a significant event signaling abnormal returns on announcement day at the 99% confidence level.

#No Output