Initialization of an Event Study task. — EventStudyTask • EventStudy

Event Study Task

The Event Study task contains all necessary data for performing an event study. Furthermore, all calculations are saved in the internal dataframe named data_tbl.

Public fields

data_tbl: All calculations are saved in this dataframe. The dataframe is a nested object with each row is one event, identified by the event id, the group, and the firm symbol.
aar_caar_tbl: Placeholder for AAR and CAAR test statistics.
.keys: event identifier. Do not change.
.index: The time column name
.target: The price column name.
.request_file_columns: The necessary column names of the request dataframe.
factor_tbl: Optional factor data for multi-factor models (Fama-French, Carhart). Must contain a date column.

Active bindings

symbols: Read-only field to get the firm symbols.
symbol_data: Read-only field to get the firm symbol data.
group_level_data: Read-only field to get the group data.

Methods

`EventStudyTask$new()`

Create a new EventStudyTask from stock data, reference market data, and an event request specification.

Usage

EventStudyTask$new(
  firm_stock_data_tbl,
  reference_tbl,
  request_tbl,
  factor_tbl = NULL
)

Arguments

firm_stock_data_tbl: Dataframe with firm stock data. This dataframe must contain the stock (col: symbol) the date (col: date) and the price (col: adjusted) column.
reference_tbl: Dataframe with firm reference data.
request_tbl: The request dataframe for each event.
factor_tbl: Optional dataframe with factor data (e.g., Fama-French factors). Must contain a date column plus factor columns.

`EventStudyTask$print()`

Print a summary of the EventStudyTask.

Usage

EventStudyTask$print(...)

`EventStudyTask$summary()`

Summarize the event study results.

Usage

EventStudyTask$summary()

Returns

A list with summary information about the event study results.

`EventStudyTask$get_ar()`

Extract abnormal returns for a single event.

Usage

EventStudyTask$get_ar(event_id = NULL)

Arguments

event_id: The event identifier.

Returns

A tibble with abnormal returns for the event window.

`EventStudyTask$get_car()`

Extract cumulative abnormal returns for a single event.

Usage

EventStudyTask$get_car(event_id = NULL)

Arguments

event_id: The event identifier.

Returns

A tibble with cumulative abnormal returns for the event window.

`EventStudyTask$get_aar()`

Extract average abnormal returns across events.

Usage

EventStudyTask$get_aar(group = NULL, stat_name = "CSectT")

Arguments

group: Optional group name to filter by.
stat_name: Name of the multi-event test statistic to extract. Defaults to "CSectT".

Returns

A tibble with AAR/CAAR results.

`EventStudyTask$get_model_stats()`

Extract model statistics for a single event.

Usage

EventStudyTask$get_model_stats(event_id = NULL)

Arguments

event_id: The event identifier.

Returns

A list with model statistics.

`EventStudyTask$clone()`

The objects of this class are cloneable with this method.

Usage

EventStudyTask$clone(deep = FALSE)

Arguments

deep: Whether to make a deep clone.