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

作　　者：Monica Martinez‑Blasco Vanessa Serrano Francesc Prior Jordi Cuadros 

机构地区：[1]IQS School of Management-Universitat Ramon Llull,Via Augusta 390,08017 Barcelona,Spain [2]IQS School of Engineering-Universitat Ramon Llull,Via Augusta 390,08017 Barcelona,Spain

出　　处：《Financial Innovation》2023年第1期2042-2075,共34页金融创新（英文）

基　　金：the Secretaria d’Universitats i Recerca del Departament d’Empresa i Coneixement of the Catalan government,and to Universitat Ramon Llull for their financial support.The financial support for this work did not influence its outcome.

摘　　要：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 implementa-tion 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 finan-cial 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.

关 键 词：Event study Fama–French five-factor model Financial education Teaching innovation SPREADSHEET R programming language 

分 类 号：TP311.5[自动化与计算机技术—计算机软件与理论]