remap.cumprod: Cumulative geometric values

In nipfpmf/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), ])

nipfpmf/eventstudies documentation built on June 7, 2020, 3:57 p.m.