data(wrds_data_beta)
library(base)
unique_tickers <- sort(unique(wrds_data_beta$Ticker))
unique_dates <- sort(unique(wrds_data_beta$Date))
beta_values <- matrix(ncol=5)
colnames(beta_values) <- c("Date", "Ticker", "Cov", "Var", "Beta")
for (ticker in unique_tickers){
# Test file to make sure enough observations are available
temp <- filter(wrds_data_beta, Ticker == ticker)
temp <- select(temp, Date, Delta, SPR)
temp <- temp[complete.cases(temp),]
# temp$Beta <- cov(temp$Delta, temp$SPR) / var(temp$SPR)
if (nrow(temp) > 252){
ticker_data <- filter(wrds_data_beta, Ticker == ticker)
ticker_data <- select(ticker_data, Date, Ticker, Delta, SPR)
ticker_data <- ticker_data[complete.cases(ticker_data),]
ticker_data$Cov <- runCov(ticker_data$SPR, ticker_data$Delta, n=252)
ticker_data$Var <- runVar(ticker_data$SPR, n = 252)
ticker_data$Beta <- ticker_data$Cov/ticker_data$Var
ticker_data <- select(ticker_data, Date, Ticker, Cov, Var, Beta)
ticker_data <- ticker_data[complete.cases(ticker_data),]
# ticker_data$Date <- as.Date(ticker_data$Date, origin="1960-10-01")
}
else {
}
beta_values <- rbind(beta_values, ticker_data)
# beta_values$Date <- as.Date(beta_values$Date)
}
wrds_data_beta <- merge(wrds_data_beta, beta_values, by = c("Ticker", "Date"))
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