labeling_abnormal_returns: Abnormal returns labeling

In MislavSag/mlfinance: Machine learning in finance

Description

Define labels based on abnormal returns extracted from firm returns and events.

Usage

labeling_abnormal_returns(
  events,
  firm_returns,
  market_returns,
  event_horizon = 30,
  model_type = c("marketModel", "excessReturn", "None")
)

Arguments

events	a data.frame of two columns with event dates (colname: “when”) and column names of the ‘response’ series from ‘firm.returns’ (colname “name”).
firm_returns	zoo matrix of ‘outcome’ or ‘response’ series
market_returns	Returns of SPY or some similiar asset.
event_horizon	an ‘integer’ of length 1 that specifies a symmetric event window around the event time as specified in the index of “firm.returns”.
model_type	Model type. See eventstudy function.

Value

Two data frames. First contains labels and abnormal returns and second contains whole returns path.

MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.