Produce a table of event returns from CRSP.
Usage
get_event_rets(
data,
conn,
permno = "permno",
event_date = "event_date",
win_start = 0,
win_end = 0,
end_event_date = NULL
)Arguments
- data
data frame containing data on events
- conn
connection to a PostgreSQL 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)
- win_end
integer representing start of trading window (e.g., 1)
- end_event_date
string representing column containing ending dates for events
Value
A tibble containing security and event dates, trading dates, stock
returns (ret), benchmark returns (vwretd and decret), window boundaries,
and relative_td (trading days from the mapped announcement date).
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_rets(events, pg, win_start = -1, win_end = 1)
})
} # }