get_event_cum_rets: Produce a table of cumulative event returns

In farr: Data and Code for Financial Accounting Research

Produce a table of cumulative event returns

Description

Produce a table of event returns from CRSP.

Usage

get_event_cum_rets(
  data,
  conn,
  permno = "permno",
  event_date = "event_date",
  win_start = 0,
  win_end = 0,
  end_event_date = NULL,
  suffix = ""
)

Arguments

data	data frame containing data on events
conn	connection to a PostgreSQL database
permno	string representing column containing PERMNOs for events
event_date	string representing column containing dates for events
win_start	integer representing start of trading window (e.g., -1)
win_end	integer representing start of trading window (e.g., 1)
end_event_date	string representing column containing ending dates for events
suffix	Text to be appended after "ret" in variable names

Value

tbl_df

Examples

## Not run:
## Not run: 
library(DBI)
library(dplyr, warn.conflicts = FALSE)
library(RPostgres)
pg <- dbConnect(Postgres())
events <- tibble(permno = c(14593L, 10107L),
                 event_date = as.Date(c("2019-01-31", "2019-01-31")))
get_event_cum_rets(events, pg)

## End(Not run)
## End(Not run)

farr documentation built on May 29, 2024, 6:41 a.m.