Hi Michael: abnormal returns in a term used in finance to describe the
"residual return"
after estimating a return model ( either capm or apt or whatever ) so the
needs
to build a return model ( capm is the easiest ) and then just calculate the
residuals.
these are termed the residual returns and can be negative or positive.
drsenne: you should send that to R-Sig-Finance or look around on the net.
It's an interesting exercise but you need to understand R pretty well and
install quantmod and be able to get the prices for all the stocks and run
regression models. I don't know where an R example
of it is but Eric Zivot has a nice example in his S+Finmetrics book. If
you can get your
hands on that, it will show all the details. But, if you send your question
to R-Sig-Finance,
I bet someone over there will know where a good R example lies.
Mark
P.S: also checkout the website of "systematic investor". I don't know if he
does exactly
the above but it does a lot of related things and provides R code.
On Sat, Mar 10, 2012 at 7:03 PM, R. Michael Weylandt <
michael.weyla...@gmail.com> wrote:
> Well, it's not hard to write the code for it, but if you know the
> secret way to accurately model "abnormal returns," you'll be a far
> richer man than I quite soon.
>
> Less snidely, one needs to say quite a bit more about a distribution
> to specify it than "not Gaussian."
>
> Michael
>
> On Sat, Mar 10, 2012 at 12:46 PM, drsenne <dr_se...@pandora.be> wrote:
> > Hello
> >
> > This is my first post on this forum and I hope someone can help me out.
> > I have a datafile (weeklyR) with returns of +- 100 companies.
> > I acquired this computing the following code:
> >
> > library("tseries");
> > tickers = c("GSPC" , "BP" , "TOT" , "ENI.MI" , "VOW.BE" , "CS.PA"
> ,
> > "DAI.DE" , "ALV.DE" , "EOAN.DE" , "CA.PA" , "G.MI"
> , "DE" , "EXR.MI" ,
> > "MUV2.BE" , "UG.PA" , "PRU.L", "VOD.L" , "DPB.BE" , "REP.MC" , "RWE.BE"
> ,
> > "AGN.AS" , "FTE.PA" , "EAD" , "LGEN.L" , "CNP.PA" , "ULVR.L" , "TKA.BE"
> ,
> > "RIO.L" , "NOK" , "SGO.PA" , "RNO.PA" , "VIE.PA" , "BAYN.DE" , "SAN.PA"
> ,
> > "DG.PA" , "SSE.L" , "GSK.L" , "EN.PA" , "LYB" , "MLSNP.PA" , "IBE.MC" ,
> > "EURS.PA" , "AH.AS" , "VIV.PA" , "TIT.MI" , "VOLV-B.ST" , "ABI.BR" ,
> > "LHA.DE" , "OML.L" , "CNA.L" , "CON.DE" , "PHG" , "AZN.L" , "SBRY.L" ,
> > "BA.L" , "BT-A.L" , "AF.PA" , "430021.VI" , "SL.L" , "ERIC-A.ST" , "
> CDI.PA"
> > , "AAL.L" , "ALO.PA" , "DELB.BR" , "HOT.BE" , "GAS.MC" , "SU.PA" , "
> OR.PA" ,
> > "FNC.MI" , "MRW.L" , "MAP.MC" , "ML.PA" , "IMT.L" , "EBK.DE" , "PP.PA" ,
> > "ACN" , "BTI" , "CRG.IR" , "CPG.L" , "BN.PA" , "NG.L" , "T7L.BE" , "
> HEIA.AS"
> > , "ACS.MC" , "LG.PA" , "STAN.L" , "ALU.PA" , "FRE.MU" , "SW.PA" ,
> "WOS.L" ,
> > "AKZA.AS" , "HEN.MU")
> > for( series in tickers ){
> > print(series)
> > close <-
> >
> get.hist.quote(instrument=series,retclass="zoo",quote="AdjClose",compression="d",
> > start="2000-1-1", end="2011-12-31",quiet=TRUE)
> > if(series==tickers[1]){ pricedata = close }else{ pricedata = merge(
> > pricedata , close ) }
> > }
> > colnames(pricedata) = tickers
> > # Avoid a missing because of trade halt for that stock
> > pricedata = na.approx(pricedata)
> > weeklyR = diff(log(pricedata))
> > time(weeklyR) = as.Date(time(weeklyR))
> > print(weeklyR)
> > save(weeklyR , file = "weeklyR.Rdata")
> > write.zoo(weeklyR,file="weeklyR.csv",quote=T,sep=",", na = "NA", dec =
> "." ,
> > row.names = F,col.names = T)
> >
> > Now I need to make a market model in R so i can generate abnormal returns
> > from these stocks. As market index I would like to use the GSPC. I also
> need
> > to consider abnormal returns calculated over a sixty-trading-day window.
> > Can this be done in R? Is it difficult to write this code?
> >
> > Any help would be much appreciated!
> >
> > thanks
> >
> > drsenne
> >
> >
> > --
> > View this message in context:
> http://r.789695.n4.nabble.com/Generating-abnormal-returns-in-R-tp4462541p4462541.html
> > Sent from the R help mailing list archive at Nabble.com.
> >
> > ______________________________________________
> > R-help@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.
>
> ______________________________________________
> R-help@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.
>
[[alternative HTML version deleted]]
______________________________________________
R-help@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.
