Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2023-04-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-023-00477-3 |
| _version_ | 1797845811752599552 |
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| author | Monica Martinez-Blasco Vanessa Serrano Francesc Prior Jordi Cuadros |
| author_facet | Monica Martinez-Blasco Vanessa Serrano Francesc Prior Jordi Cuadros |
| author_sort | Monica Martinez-Blasco |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-09T17:44:59Z |
| format | Article |
| id | doaj.art-5f4a7ffe09de4983b51ae6d067824fef |
| institution | Directory Open Access Journal |
| issn | 2199-4730 |
| language | English |
| last_indexed | 2024-04-09T17:44:59Z |
| publishDate | 2023-04-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj.art-5f4a7ffe09de4983b51ae6d067824fef2023-04-16T11:23:00ZengSpringerOpenFinancial Innovation2199-47302023-04-019113410.1186/s40854-023-00477-3Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming languageMonica Martinez-Blasco0Vanessa Serrano1Francesc Prior2Jordi Cuadros3IQS School of Management-Universitat Ramon LlullIQS School of Engineering-Universitat Ramon LlullIQS School of Management-Universitat Ramon LlullIQS School of Engineering-Universitat Ramon LlullAbstract 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.https://doi.org/10.1186/s40854-023-00477-3Event studyFama–French five-factor modelFinancial educationTeaching innovationSpreadsheetR programming language |
| spellingShingle | Monica Martinez-Blasco Vanessa Serrano Francesc Prior Jordi Cuadros Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language Financial Innovation Event study Fama–French five-factor model Financial education Teaching innovation Spreadsheet R programming language |
| title | Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language |
| title_full | Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language |
| title_fullStr | Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language |
| title_full_unstemmed | Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language |
| title_short | Analysis of an event study using the Fama–French five-factor model: teaching approaches including spreadsheets and the R programming language |
| title_sort | analysis of an event study using the fama french five factor model teaching approaches including spreadsheets and the r programming language |
| topic | Event study Fama–French five-factor model Financial education Teaching innovation Spreadsheet R programming language |
| url | https://doi.org/10.1186/s40854-023-00477-3 |
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