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cran version Downloads rstudio mirror downloads

EventStudyTools (EST) API R Wrapper

Get Started

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 the EST Team (no-reply@eventstudytools.com).

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

Installation

From GitHub (current, recommended):

# install.packages("remotes")
remotes::install_github("EventStudyTools/api-wrapper.r")

The package was previously published on CRAN but is currently archived there, so install.packages("EventStudy") no longer works. Install from GitHub instead.

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

Details can be found in our vignettes