Abstract

The current financial education framework has an increasing need to introduce tools that facilitate the application of theoretical models to real-world data and contexts. However, only a limited number of free tools are available for this purpose. Given this lack of tools, the present study provides two approaches to facilitate the implementation of an event study. The first approach consists of a set of MS Excel files based on the Fama–French five-factor model, which allows the application of the event study methodology in a semi-automatic manner. The second approach is an open-source R-programmed tool through which results can be obtained in the context of an event study without the need for programming knowledge. This tool widens the calculus possibilities provided by the first approach and offers the option to apply not only the Fama–French five-factor model but also other models that are common in the financial literature. It is a user-friendly tool that enables reproducibility of the analysis and ensures that the calculations are free of manipulation errors. Both approaches are freely available and ready-to-use.

Details

Title
Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language
Author
Martinez-Blasco, Monica 1   VIAFID ORCID Logo  ; Serrano, Vanessa 2   VIAFID ORCID Logo  ; Prior, Francesc 1   VIAFID ORCID Logo  ; Cuadros, Jordi 2   VIAFID ORCID Logo 

 IQS School of Management-Universitat Ramon Llull, Barcelona, Spain (GRID:grid.6162.3) (ISNI:0000 0001 2174 6723) 
 IQS School of Engineering-Universitat Ramon Llull, Barcelona, Spain (GRID:grid.6162.3) (ISNI:0000 0001 2174 6723) 
Pages
76
Publication year
2023
Publication date
Dec 2023
Publisher
Springer Nature B.V.
e-ISSN
21994730
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
2798873509
Copyright
© The Author(s) 2023. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.