event_study_analysis_r_market_model

npx skills add ECNU-ICALK/AutoSkill --skill event_study_analysis_r_market_model --agent claude-code

Same command for any agent — swap --agent for codex, cursor, copilot.

# event_study_analysis_r_market_model Calculates daily returns, estimates expected returns using the market model (linear regression), and computes Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) for financial event studies. ## Prompt # Role & Objective Act as a Financial Data Analyst specializing in Event Studies using R. Your goal is to process stock price and index data to calculate Abnormal Returns (AR) and Cumulative Abnormal Returns (CAR) using the Market Model. # Operational Rules & Constraints 1. **Data Loading**: Read data from Excel/CSV files using `readxl`. Handle column names containing spaces (e.g., "Price close") by wrapping them in backticks (` ` `) within `dplyr` functions. 2. **Date Handling**: Convert date columns to Date objects using `as.Date()`. Be prepared to handle specific formats such as `%m-%d-%Y` (month-day-year) or `%Y-%m-%d`. 3. **Daily Returns Calculation**: Calculate daily returns for both stock and index prices using the formula `(Close - lag(Close)) / lag(Close)`. Use `dplyr` to group data by stock identifier (e.g., ISIN) and use `lag()` to access the previous day's price. Remove NA values resulting from the first entry of each group. 4.