Publisher review:Compute Periodic Abnormal Returns - Compute cumulative or buy-and-hold abnormal returns for a set of stocks. Function AbnormalReturns facilitates computation of by-fiscal-year - and, more generally, periodic - cumulative and buy-and-hold abnormal stock returns, using as benchmark returns on annually-rebalanced equal- or value-weighted class portfolios. Please consult README.PDF and sample files included in the attached archive for further details. Requirements: ยท MATLAB Release: R13
Compute Periodic Abnormal Returns is a Matlab script for Financial Modeling and Analysis scripts design by Dimitri Shvorob.
It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.
Compute Periodic Abnormal Returns - Compute cumulative or buy-and-hold abnormal returns for a set of stocks.
Operating system:Windows / Linux / Mac OS / BSD / Solaris