[R-SIG-Finance] Abnormal returns in R

[Brian G. Peterson]

On Tue, 2012-03-13 at 14:44 +0100, Senne Van Handenhove wrote:
> 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? 

Yes.

> Is it difficult to write this code?
> 
No.

install.packages('PerformanceAnalytics')
require(PerformanceAnalytics)
?Return.excess
?rollapply

Cheers,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock