Data and R code for teaching event studies using stock price returns in 1953-1954
Source data are included in Alchian_Data_public.xlsx. Achian formatted.xlsx has data in levels and returns already calculated for ease of classroom use.
Inspriration drawn from Newhard, "The stock market speaks: How Dr. Alchian learned to build the bomb" Journal of Corporate Finance (2014): https://doi.org/10.1016/j.jcorpfin.2014.05.002
R code uses the data in the data folder, and additionally uses the Fama-French daily 3-factor daily data available here: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Research