inst/doc/estudy2-intro.R

In estudy2: An Implementation of Parametric and Nonparametric Event Study

## ----setup, include = FALSE---------------------------------------------------
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

## ---- message=FALSE, warning=FALSE--------------------------------------------
library(estudy2)
tickers <- c("AMZN", "ZM", "UBER", "NFLX", "SHOP", "FB", "UPWK")
prices <- get_prices_from_tickers(tickers, 
                                  start = as.Date("2019-04-01"),
                                  end = as.Date("2020-04-01"),
                                  quote = "Close",
                                  retclass = "zoo")

## ---- message=FALSE, warning=FALSE--------------------------------------------
prices_indx <- get_prices_from_tickers("^GSPC",
                                       start = as.Date("2019-04-01"),
                                       end = as.Date("2020-04-01"),
                                       quote = "Close",
                                       retclass = "zoo")

## -----------------------------------------------------------------------------
rates <- get_rates_from_prices(prices,
                               quote = "Close",
                               multi_day = TRUE,
                               compounding = "continuous")

rates_indx <- get_rates_from_prices(prices_indx, 
                                    quote = "Close",
                                    multi_day = TRUE,
                                    compounding = "continuous")

## -----------------------------------------------------------------------------
securities_returns <- apply_market_model(
  rates = rates,
  regressor = rates_indx,
  same_regressor_for_all = TRUE,
  market_model = "sim",
  estimation_method = "ols",
  estimation_start = as.Date("2019-04-01"),
  estimation_end = as.Date("2020-03-13")
)

## -----------------------------------------------------------------------------
parametric_tests(list_of_returns = securities_returns,
                 event_start = as.Date("2020-03-16"),
                 event_end = as.Date("2020-03-20"))

nonparametric_tests(list_of_returns = securities_returns,
                    event_start = as.Date("2020-03-16"),
                    event_end = as.Date("2020-03-20"))


## ---- message=FALSE, warning=FALSE--------------------------------------------
library(magrittr)

rates_indx <- get_prices_from_tickers("^GSPC",
                                      start = as.Date("2019-04-01"),
                                      end = as.Date("2020-04-01"),
                                      quote = "Close",
                                      retclass = "zoo") %>%
  get_rates_from_prices(quote = "Close",
                        multi_day = TRUE,
                        compounding = "continuous")

tickers <- c("AMZN", "ZM", "UBER", "NFLX", "SHOP", "FB", "UPWK")

param_tests <- get_prices_from_tickers(tickers,
                                             start = as.Date("2019-04-01"),
                                             end = as.Date("2020-04-01"),
                                             quote = "Close",
                                             retclass = "zoo") %>%
  get_rates_from_prices(quote = "Close",
                        multi_day = TRUE,
                        compounding = "continuous") %>%
  apply_market_model(regressor = rates_indx,
                     same_regressor_for_all = TRUE,
                     market_model = "sim",
                     estimation_method = "ols",
                     estimation_start = as.Date("2019-04-01"),
                     estimation_end = as.Date("2020-03-13")) %>%
  parametric_tests(event_start = as.Date("2020-03-16"),
                   event_end = as.Date("2020-03-20"))