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farr

The goal of farr is to provide functions and small data sets as used in “Empirical Research in Accounting: Tools and Methods”.

Installation

You can install the released version of farr from CRAN with:

install.packages("farr")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("iangow/farr")

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Version

Install

install.packages('farr')

Monthly Downloads

701

Version

0.2.39

License

MIT + file LICENSE

Issues

Pull Requests

Stars

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Repository

https://github.com/iangow/farr

Maintainer

Ian Gow

Last Published

December 13th, 2023

Functions in farr (0.2.39)

Firm-years for replication of Fang, Huang and Karpoff (2016)

get_event_cum_rets_mth

Produce a table of cumulative event returns using monthly data

confusion_stats

Confusion statistics.

Treatment indicators for SHO pilot firms

get_event_dates

Produce a table mapping announcements to trading dates

Produce a table of event returns

Produce a table mapping announcements to trading dates

Data on public float

Dates for Inevitable Disclosure Doctrine (IDD)

RUSBoost for two-class problems

Save WRDS table as parquet file.

sho_r3000_sample

Russell 3000 sample used by SEC

sho_r3000_gvkeys

Russell 3000 sample used by SEC with GVKEYs

get_test_scores

A function returning data on test_scores.

get_size_rets_monthly

Create a table of monthly returns for size portfolios

Russell 3000 stocks at time of SEC Reg SHO sample formation.

get_idd_periods

Period for Inevitable Disclosure Doctrine (IDD)

Fetch Fama-French industry grouping.

Data on firms suffering natural disasters

get_trading_dates

Produce a table mapping dates on CRSP to "trading days"

GVKEY-CIK links

Calculate metric: NDCG at k

undisclosed_names

Customer names that represent non-disclosures.

Winsorize a vector.

Data on firm headquarters based on SEC EDGAR filings

Tickers of pilot firms for Reg SHO.

get_me_breakpoints

Create a table of with cut-offs for size portfolios

Generate simulated data as described in Gow, Ormazabal and Taylor (2010).

GVKEYs used in Li, Lin and Zhang (2018)

Function to load parquet file into database.

Random under-sampling function

A function returning data for a ROC plot.

Truncate a vector.

zhang_2007_windows

Event windows from Zhang (2007)

zhang_2007_events

Event dates from Zhang (2007)

Australian bank fundamental data

Area under curve

get_event_cum_rets

Produce a table of cumulative event returns

AAER dates from SEC

Australian banks

Data on accruals and auditor choice

AAERs from Bao et al. (2020)

Tags on StackOverflow

Australian bank stock market data

bloomfield_2021

Firm-years in RDD analysis of Bloomfield (2021)

Dates for Apple Events