remap.cumprod: Cumulative geometric values

In eventstudies: Event Study Analysis

Description

This function computes the cumulative geometric values for a given zoo object.

Usage

   remap.cumprod(z, is.pc = FALSE, is.returns = TRUE, base = 100)

Arguments

z	a zoo object indexed by event time, typically by the “z.e” component obtained from “phys2eventtime” function.
is.pc	‘logical’, whether input is a percentage. Default value set to ‘FALSE’.
is.returns	‘logical’, whether input is a returns series.
base	an integer specifying the base for cumulative product.

Value

A zoo object with the cumulative product for each series, representing a buy-hold return estimate.

Author(s)

Chirag Anand, Vikram Bahure, Vimal Balasubramaniam

See Also

phys2eventtime

Examples

data(StockPriceReturns)
data(SplitDates)

es.results <- phys2eventtime(z = StockPriceReturns,
                             events = SplitDates,
                             width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)

eventtime <- remap.cumprod(es.w,
                           is.pc = TRUE,
                           is.returns = TRUE,
                           base = 100)

print(eventtime[as.character(-3:3), ])

Example output

Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: xts
           6         9        16       20        21        22
-3  98.36845  99.93593 101.51072 97.47773 102.00284 101.37269
-2  96.66583  99.13601 101.19396 99.20435 104.60871  99.01246
-1  98.04356 100.37825 101.49617 99.30919 101.19230 100.36205
0   98.58186 103.48134  95.66640 99.70614  96.91556  98.54077
1   99.18410 107.22746  93.26000 97.57466  92.34082 102.31979
2  100.23080 106.49245  92.92001 98.18450  94.20636 101.91376
3   99.52687 104.63686  94.18402 98.04239  99.72684 103.62157

eventstudies documentation built on July 1, 2020, 10:26 p.m.