EventStudyTools (EST) API R Wrapper

Get Started

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Purpose of this Package

• Prepare data for an Event Study in R.

  • Some pre-tests on the data are applied such that you do not get some strange errors from the API.

• Perform an Event Study using the https://www.eventstudytools.com API.

• Parse results to R and do additional analysis and plotting with results.

Further Information & Help

• The description of test statistics and available models can be found on Significance Tests and Expected Return Models.

• If another consultancy on event study or panel data analysis is necessary, you may contact me, Dr. Simon Müller (sm@data-zoo.de).

• Don't hesitate to contact Dr. Simon Müller if you want to perform Event Studies On-Premise, with low latency or large scale.

• If you like the package: Buy us a Coffee

Installation

Developer Version

library(devtools)
install_github("EventStudyTools/api-wrapper.r")

CRAN Version

install.packages("EventStudy")

Simple Example of an Abnormal Returns Calculator (ARC) launch

apiKey <- "Insert API key"

# Generate Example Data
EventStudy::getSP500ExampleFiles()

library(EventStudy)
# Setup API Connection
estSetup <- EventStudyAPI$new()
estSetup$authentication(apiKey)

# Type of Analysis
estType <- "arc"

# CSV files
dataFiles <- c("request_file" = "01_RequestFile.csv", 
               "firm_data"    = "02_FirmData.csv", 
               "market_data"  = "03_MarketData.csv")

# Path of result files
resultPath <- "results"

# Perform standard Event Study
estSetup$performDefaultEventStudy(estType   = estType,
                                  dataFiles = dataFiles, 
                                  destDir   = resultPath)
                        
# Parse Results                        
estParser <- ResultParser$new()
request_data = estParser$get_request_file("01_RequestFile.csv")
analysis_report = estParser$get_analysis_report("results/analysis_report.csv")


ar_result = estParser$get_ar("results/ar_results.csv", analysis_report, request_data)
ar_result$plot()

aar_result = estParser$get_aar("results/aar_results.csv", analysis_report)
aar_result$plot(ci_statistics = "Generalized Sign Z")
aar_result$plot_cumulative()
aar_result$plot_test_statistics(p=.99)

car_result = estParser$get_car("results/car_results.csv", analysis_report)
car_result$car_tbl

caar_result = estParser$get_caar("results/caar_results.csv")
caar_result$caar_tbl
caar_result$statistics_tbl

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Diesel Gate App

Details can be found in our vignettes

• Get Started
• Use Case: Dieselgate
• Parameters
• RStudio Addin