Produce a table of cumulative event returns using monthly data

Produce a table of event returns from CRSP

Usage

get_event_cum_rets_mth(
  data,
  conn,
  permno = "permno",
  event_date = "event_date",
  win_start = 0,
  win_end = 0,
  end_event_date = NULL,
  suffix = ""
)

Arguments

data

data frame containing data on events

conn

connection to a PostgreSQL or DuckDB database

permno

string representing column containing PERMNOs for events

event_date

string representing column containing dates for events

win_start

integer representing start of trading window (e.g., -1) in months

win_end

integer representing start of trading window (e.g., 1) in months

end_event_date

string representing column containing ending dates for events

suffix

Text to be appended after "ret" in variable names.

Value

A tibble with one row per security and event window, containing ret_raw (compounded stock return), ret_mkt (stock minus market return), and ret_sz (stock minus size-portfolio return). Returns are decimal fractions; suffix is inserted after ret in these column names.

Examples

if (FALSE) { # \dontrun{
# Requires an authenticated PostgreSQL connection with access to CRSP data.
local({
  pg <- DBI::dbConnect(RPostgres::Postgres())
  on.exit(DBI::dbDisconnect(pg), add = TRUE)
  events <- data.frame(permno = c(14593L, 10107L),
                        event_date = as.Date(c("2019-01-31", "2019-01-31")))
  get_event_cum_rets_mth(events, pg, win_start = -1, win_end = 1)
})
} # }