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Produce a table of cumulative event returns using monthly data

Source: R/get_event_cum_rets_mth.R
get_event_cum_rets_mth.Rd

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

tbl_df

Examples

## Not run:
if (FALSE) { # \dontrun{
library(DBI)
library(dplyr, warn.conflicts = FALSE)
library(RPostgres)
pg <- dbConnect(Postgres())
events <- tibble(permno = c(14593L, 10107L),
                 event_date = as.Date(c("2019-01-31", "2019-01-31")))
get_event_cum_rets_mth(events, pg)
} # }
## End(Not run)