R/get_event_rets.R

In iangow/farr: Data and Code for Financial Accounting Research

#' Produce a table of event returns
#'
#' Produce a table of event returns from CRSP.
#' See \code{vignette("wrds-conn", package = "farr")} for more on using this function.
#'
#' @param data data frame containing data on events
#' @param permno string representing column containing PERMNOs for events
#' @param event_date string representing column containing dates for events
#' @param conn connection to a PostgreSQL database
#' @param win_start integer representing start of trading window (e.g., -1)
#' @param win_end integer representing start of trading window (e.g., 1)
#' @param end_event_date string representing column containing ending dates for events
#'
#' @return tbl_df
#' @export
#' @importFrom rlang .data
#' @examples
#' ## Not run:
#' \dontrun{
#' library(DBI)
#' library(dplyr, warn.conflicts = FALSE)
#' pg <- dbConnect(RPostgres::Postgres())
#' events <- tibble(permno = c(14593L, 10107L),
#'                  event_date = as.Date(c("2019-01-31", "2019-01-31")))
#' get_event_rets(events, pg, win_start = -3, win_end = +3) %>%
#'   select(permno, event_date, date, ret)
#' }
#' ## End(Not run)
get_event_rets <- function(data, conn,
                           permno = "permno",
                           event_date = "event_date",
                           win_start = 0, win_end = 0,
                           end_event_date = NULL) {

    if (is.null(end_event_date)) {
        data_local <-
            data %>%
            dplyr::select(.data[[permno]], .data[[event_date]])
        end_event_date <- event_date
        drop_end_event_date <- TRUE
    } else {
        data_local <-
            data %>%
            dplyr::select(.data[[permno]], .data[[event_date]],
                          .data[[end_event_date]])
        drop_end_event_date <- FALSE
    }

    if (inherits(conn, "duckdb_connection")) {
        rets_exists <- FALSE
    } else {
        rets_exists <- DBI::dbExistsTable(conn, DBI::Id(table = "rets",
                                                        schema = "crsp"))
    }

    event_dates <-
        get_event_dates(data_local, conn, permno = permno,
                        event_date = event_date,
                        win_start = win_start, win_end = win_end,
                        end_event_date = end_event_date) %>%
        dplyr::select(.data$permno, dplyr::one_of(event_date, end_event_date),
                      .data$start_date, .data$end_date)

    if (inherits(conn, "duckdb_connection")) {
        event_dates <- dplyr::copy_to(dest = conn, df = event_dates, overwrite = TRUE)
        crsp.dsedelist <- farr::load_parquet(conn, "dsedelist", "crsp")
        crsp.dsf <- farr::load_parquet(conn, "dsf", "crsp")
        crsp.erdport1 <- farr::load_parquet(conn, "erdport1", "crsp")
        crsp.dsi <- farr::load_parquet(conn, "dsi", "crsp")
    } else {
        read_only <- DBI::dbGetQuery(conn, "SHOW transaction_read_only")[1,1]=="on"
        if (read_only) {
            event_dates <- dbplyr::copy_inline(con = conn, df = event_dates)
        } else {
            event_dates <- dplyr::copy_to(dest = conn, df = event_dates, overwrite = TRUE)
        }
        crsp.dsedelist <- dplyr::tbl(conn, dplyr::sql("SELECT * FROM crsp.dsedelist"))
        crsp.dsf <- dplyr::tbl(conn, dplyr::sql("SELECT * FROM crsp.dsf"))
        crsp.erdport1 <- dplyr::tbl(conn, dplyr::sql("SELECT * FROM crsp.erdport1"))
        crsp.dsi <- dplyr::tbl(conn, dplyr::sql("SELECT * FROM crsp.dsi"))
    }

    dsedelist <-
        crsp.dsedelist %>%
            dplyr::select(.data$permno, date = .data$dlstdt, .data$dlret) %>%
        dplyr::filter(!is.na(.data$dlret))

    dsi <-
        crsp.dsi %>%
        dplyr::select(.data$date, .data$vwretd)

    if (rets_exists) {
        rets <- dplyr::tbl(conn, dplyr::sql("SELECT * FROM crsp.rets"))
    } else {
        dsf_plus <-
            crsp.dsf %>%
            dplyr::full_join(dsedelist, by = c("permno", "date")) %>%
            dplyr::mutate(ret = (1 + dplyr::coalesce(.data$ret, 0)) *
                              (1 + dplyr::coalesce(.data$dlret, 0)) - 1) %>%
            dplyr::select(.data$permno, .data$date, .data$ret)

        erdport <-
            crsp.erdport1 %>%
            dplyr::select(.data$permno, .data$date, .data$decret)

        dsf_w_erdport <-
            dsf_plus %>%
            dplyr::left_join(erdport, by = c("permno", "date"))

        rets <- dsf_w_erdport %>%
            dplyr::left_join(dsi, by = "date")
    }

    results_raw <-
        event_dates %>%
        dplyr::inner_join(rets, by = "permno") %>%
        dplyr::filter(dplyr::between(.data$date, .data$start_date,
                                     .data$end_date)) %>%
        dplyr::collect()

    trading_dates <- farr::get_trading_dates(conn)

    event_tds <-
        event_dates %>%
        dplyr::collect() %>%
        dplyr::inner_join(trading_dates,
                          by = structure(names = event_date, .Data = "date")) %>%
        dplyr::rename(event_td = .data$td) %>%
        dplyr::select(.data$permno, .data[[event_date]], .data$event_td)

    results <-
        results_raw %>%
        dplyr::inner_join(trading_dates, by="date") %>%
        dplyr::inner_join(event_tds, c("permno"="permno",
                                       structure(names = event_date,
                                                 .Data = event_date))) %>%
        dplyr::mutate(relative_td = .data$td - .data$event_td) %>%
        dplyr::select(-.data$td, -.data$event_td)

    results
}