I am an R beginner and trying to run a market model using event study in
R framework.

 

First, I run a market model, that is lm(stock security~SP500 index,
subset=Obs[197, 396]) ->result1

Then I get predict results for a  new dataset using predict (result1,
newdata=Obs[397,399]) ->pred1

Pred1 should have three numbers.

 

Now I need to calculate abnormal return by the formula stock security
[397,399] -pred1

But it does not work after trying many times.

 

So, how to write a R code to implement the formula and get right
results.

 

 

Thanks,

 

Bill


	[[alternative HTML version deleted]]

