Package index
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get_annc_dates() - Produce a table mapping announcements to trading dates
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get_event_dates() - Produce a table mapping announcements to trading dates
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get_event_rets() - Produce a table of event returns
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get_event_cum_rets() - Produce a table of cumulative event returns
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get_event_cum_rets_mth() - Produce a table of cumulative event returns using monthly data
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get_trading_dates() - Produce a table mapping dates on CRSP to "trading days"
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get_ff_ind() - Fetch Fama-French industry grouping.
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get_me_breakpoints() - Create a table of with cut-offs for size portfolios
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get_size_rets_monthly() - Create a table of monthly returns for size portfolios
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get_got_data() - Generate simulated data as described in Gow, Ormazabal and Taylor (2010).
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load_parquet() - Function to load parquet file into database.
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pg_to_parquet() - Save WRDS table as parquet file.
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duckdb_to_parquet() - Export a DuckDB-backed lazy table to Parquet via COPY
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form_deciles() - Form deciles
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get_idd_periods() - Period for Inevitable Disclosure Doctrine (IDD)
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get_test_scores() - A function returning data on test_scores
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system_time() - Version of
system.time()that works with assignment
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truncate() - Truncate a vector.
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winsorize() - Winsorize a vector
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auc() - Area under curve
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confusion_stats() - Confusion statistics.
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ndcg() - Calculate metric: NDCG at k
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roc() - A function returning data for a ROC plot.
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rus() - Random under-sampling function
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rusboost() - RUSBoost for two-class problems
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aaer_dates - AAER dates from SEC
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aaer_firm_year - AAERs from Bao et al. (2020)
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apple_events - Dates for Apple Events
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aus_bank_funds - Australian bank fundamental data
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aus_bank_rets - Australian bank stock market data
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aus_banks - Australian banks
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bloomfield_2021 - Firm-years in RDD analysis of Bloomfield (2021)
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by_tag_year - Tags on StackOverflow
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camp_attendance - Camp attendance
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cmsw_2018 - Data for CMSW
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comp - Data on accruals and auditor choice
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fhk_firm_years - Firm-years for replication of Fang, Huang and Karpoff (2016)
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fhk_pilot - Treatment indicators for SHO pilot firms
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gvkey_ciks - GVKEY-CIK links
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idd_dates - Dates for Inevitable Disclosure Doctrine (IDD)
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iliev_2010 - Data on public float
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llz_2018 - GVKEYs used in Li, Lin and Zhang (2018).
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michels_2017 - Data on firms suffering natural disasters
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sho_r3000 - Russell 3000 stocks at time of SEC Reg SHO sample formation
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sho_r3000_gvkeys - Russell 3000 sample used by SEC with GVKEYs
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sho_r3000_sample - Russell 3000 sample used by SEC
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sho_tickers - Tickers of pilot firms for Reg SHO
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state_hq - Data on firm headquarters based on SEC EDGAR filings
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test_scores - Test scores
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undisclosed_names - Customer names that represent non-disclosures
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zhang_2007_events - Event dates from Zhang (2007)
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zhang_2007_windows - Event windows from Zhang (2007)