Articles producció científica> Pedagogia

Analysis of an event study using the Fama-French five-factor model: teaching approaches including spreadsheets and the R programming language

  • Datos identificativos

    Identificador: imarina:9335215
    Autores:
    Martinez-Blasco, MSerrano, VPrior, FCuadros, J
    Resumen:
    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.
  • Otros:

    Autor según el artículo: Martinez-Blasco, M; Serrano, V; Prior, F; Cuadros, J
    Departamento: Pedagogia
    Autor/es de la URV: Serrano Molinero, Vanesa Maria
    Palabras clave: Teaching innovation Spreadsheet R programming language Markets Financial education Fama–french five-factor model Fama-french five-factor model Event study Daily stock returns
    Resumen: 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.
    Áreas temáticas: Social sciences, mathematical methods Management of technology and innovation Finance Engenharias iii Ciencias sociales Business, finance
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del autor: vanessa.serrano@urv.cat
    Identificador del autor: 0000-0001-6572-0680
    Fecha de alta del registro: 2024-06-28
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Enlace a la fuente original: https://pubmed.ncbi.nlm.nih.gov/37063168/
    Referencia al articulo segun fuente origial: Financial Innovation. 9 (1): 76-
    Referencia de l'ítem segons les normes APA: Martinez-Blasco, M; Serrano, V; Prior, F; Cuadros, J (2023). Analysis of an event study using the Fama-French five-factor model: teaching approaches including spreadsheets and the R programming language. Financial Innovation, 9(1), 76-. DOI: 10.1186/s40854-023-00477-3
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    DOI del artículo: 10.1186/s40854-023-00477-3
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2023
    Tipo de publicación: Journal Publications
  • Palabras clave:

    Business, Finance,Finance,Management of Technology and Innovation,Social Sciences, Mathematical Methods
    Teaching innovation
    Spreadsheet
    R programming language
    Markets
    Financial education
    Fama–french five-factor model
    Fama-french five-factor model
    Event study
    Daily stock returns
    Social sciences, mathematical methods
    Management of technology and innovation
    Finance
    Engenharias iii
    Ciencias sociales
    Business, finance
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