Prepare data for an Event Study in R.
Perform an Event Study using the https://www.eventstudytools.com API.
Parse results to R and do additional analysis and plotting with results.
The description of test statistics and available models can be found on Significance Tests and Expected Return Models.
If another consultancy on event study or panel data analysis is necessary, you may contact me, Dr. Simon Müller (sm@data-zoo.de).
Don’t hesitate to contact Dr. Simon Müller if you want to perform Event Studies On-Premise, with low latency or large scale.
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