Event Study: Parameters

knitr::opts_chunk$set(echo = TRUE)

Motivation

You can manually adjust all parameters in your R environment. Save this object and use it in all your Event Studies. This vignette gives you an overview on how to set the correct parameters in R.

Options

You are able to set some general options in the R option object. This enables you to setup your API credentials for all R sessions.

The options can be changed by the options function in R, e.g.

options(EventStudy.URL = "http://api.eventstudytools.com")

The options can be retained by the

getOption("EventStudy.tryAttempts")

Performing an Event Study (ARC, AVC, or AVyC)

After you have set your paramaeters, you can easily perform your Event Study:

apiUrl <- "http://api.eventstudytools.com"
apiKey <- "Please insert your key here"

# Setup API Connection
estSetup <- EventStudyAPI$new(apiUrl)
estSetup$authentication(apiKey)

# Perform Event Study
estResults <- estSetup$performEventStudy(estParams     = volatilityEstParams, 
                                         dataFiles     = c("request_file" = "01_RequestFile.csv",
                                                           "firm_data"    = "02_firmData.csv",
                                                           "market_data"  = "03_marketData.csv"),
                                         downloadFiles = T, # download result files
                                         checkFiles    = T) # check input files                     

When you set your url or api key by EventStudy.URL and EventStudy.KEY then just leave input parameters in .$new() and .$authentication() empty. A default key and url can be set by:

options(EventStudy.KEY = apiKey)

General Event Study Parameters

There are several parameters that are valid for all type of Event Studies (Return, Volatility, and Volume Event Study). Each type of Event Study has its own R6 object that has to be initialized before you want to perform an Event Study.

For the rest of this paragraph, we are working with a Return Event Study object. All parameters in this section can also applied to the other two objects.

returnEstParams <- ARCApplicationInput$new()

Return File Type

The return type defines the type of the result file. Possible options are

Usage:

returnEstParams$setResultFileType("xlsx")

Return Type

Usage:

returnEstParams$setReturnType("simple")

Adjustment of Non-trading Days

Usage:

returnEstParams$setNonTradingDays("earlier")

Abnormal Return Event Study

For performing Return Event Studies you need to initialize an ARCApplicationInput R6 object.

returnEstParams <- ARCApplicationInput$new()

Benchmark Models

Usage:

returnEstParams$setBenchmarkModel("mm-sw")

Test Statistics

Per default all test statistics are activated. A detailed description can be found on our website.

Parametric Test Statistics:

Non-Parametric Test Statistics:

Usage:

returnEstParams$setTestStatistics(c("aarptlz", "aarrankz"))

Abnormal Volume Event Study

For performing Return Event Studies you need to initialize an AVCApplicationInput R6 object.

volumeEstParams <- AVCApplicationInput$new()

Benchmark Models

Usage:

volumeEstParams$setBenchmarkModel("mm-sw")

Test Statistics

Per default all test statistics are activated. A detailed description can be found on our website.

Parametric Test Statistics:

Non-Parametric Test Statistics:

Usage:

volumeEstParams$setTestStatistics(c("aarptlz", "aarrankz"))

Abnormal Volatility Event Study

For performing Return Event Studies you need to initialize an AVyCApplicationInput R6 object.

volatilityEstParams <- AVyCApplicationInput$new()

Benchmark Models

Test Statistics

Per default all test statistics are activated. A detailed description can be found on our website.

Volatility Test Statistics:

Abnormal Return Test Statistics:

Usage:

volatilityEstParams$setTestStatistics(c("aarptlz", "aarrankz"))

How to Cite

Please cite our work in your publication.



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EventStudy documentation built on Dec. 20, 2021, 1:06 a.m.