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Prepare data for an Event Study in R.
- Some pre-tests on the data are applied such that you do not get some strange errors from the API.
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Perform an Event Study using the https://www.eventstudytools.com API.
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Parse results to R and do additional analysis and plotting with results.
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The description of test statistics and available models can be found on Significance Tests and Expected Return Models.
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If another consultancy on event study or panel data analysis is necessary, you may contact me, Dr. Simon Müller (sm@data-zoo.de).
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Don't hesitate to contact Dr. Simon Müller if you want to perform Event Studies On-Premise, with low latency or large scale.
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If you like the package: Buy us a Coffee
Developer Version
library(devtools)
install_github("EventStudyTools/api-wrapper.r")
CRAN Version
install.packages("EventStudy")
apiKey <- "Insert API key"
# Generate Example Data
EventStudy::getSP500ExampleFiles()
library(EventStudy)
# Setup API Connection
estSetup <- EventStudyAPI$new()
estSetup$authentication(apiKey)
# Type of Analysis
estType <- "arc"
# CSV files
dataFiles <- c("request_file" = "01_RequestFile.csv",
"firm_data" = "02_FirmData.csv",
"market_data" = "03_MarketData.csv")
# Path of result files
resultPath <- "results"
# Perform standard Event Study
estSetup$performDefaultEventStudy(estType = estType,
dataFiles = dataFiles,
destDir = resultPath)
# Parse Results
estParser <- ResultParser$new()
request_data = estParser$get_request_file("01_RequestFile.csv")
analysis_report = estParser$get_analysis_report("results/analysis_report.csv")
ar_result = estParser$get_ar("results/ar_results.csv", analysis_report, request_data)
ar_result$plot()
aar_result = estParser$get_aar("results/aar_results.csv", analysis_report)
aar_result$plot(ci_statistics = "Generalized Sign Z")
aar_result$plot_cumulative()
aar_result$plot_test_statistics(p=.99)
car_result = estParser$get_car("results/car_results.csv", analysis_report)
car_result$car_tbl
caar_result = estParser$get_caar("results/caar_results.csv")
caar_result$caar_tbl
caar_result$statistics_tbl
