farr (version 0.2.39)

get_event_rets: Produce a table of event returns

Description

Produce a table of event returns from CRSP. See vignette("wrds-conn", package = "farr") for more on using this function.

Usage

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

Value

tbl_df

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

Examples

## Not run:
if (FALSE) {
library(DBI)
library(dplyr, warn.conflicts = FALSE)
pg <- dbConnect(RPostgres::Postgres())
events <- tibble(permno = c(14593L, 10107L),
                 event_date = as.Date(c("2019-01-31", "2019-01-31")))
get_event_rets(events, pg, win_start = -3, win_end = +3) %>%
  select(permno, event_date, date, ret)
}
## End(Not run)