[Eventstudies-commits] r313 - pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri May 9 19:34:23 CEST 2014
Author: chiraganand
Date: 2014-05-09 19:34:22 +0200 (Fri, 09 May 2014)
New Revision: 313
Modified:
pkg/man/AMMData.Rd
pkg/man/EESData.Rd
pkg/man/NiftyIndex.Rd
pkg/man/SplitDates.Rd
pkg/man/StockPriceReturns.Rd
pkg/man/ees.Rd
pkg/man/eesPlot.Rd
pkg/man/eventstudy.Rd
pkg/man/excessReturn.Rd
pkg/man/inference.bootstrap.Rd
pkg/man/inference.wilcox.Rd
pkg/man/lmAMM.Rd
pkg/man/makeX.Rd
pkg/man/manyfirmssubperiod.lmAMM.Rd
pkg/man/marketResidual.Rd
pkg/man/phys2eventtime.Rd
pkg/man/remap.cumprod.Rd
pkg/man/remap.cumsum.Rd
pkg/man/remap.event.reindex.Rd
pkg/man/subperiod.lmAMM.Rd
Log:
Modified language, improved examples.
Modified: pkg/man/AMMData.Rd
===================================================================
--- pkg/man/AMMData.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/AMMData.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -1,20 +1,21 @@
\name{AMMData}
\alias{AMMData}
+\docType{data}
+\title{Data set containing firm returns, market returns, currency
+ returns, and call money rate used for AMM estimation}
-\title{Data containing firm returns, market returns, and currency
- returns used for AMM estimation}
+\description{This data set consists of daily time series for firm
+ returns (Infosys and TCS), market returns (Nifty returns), currency
+ returns (INR/USD), and call money rate. It is used to demonstrate
+ augmented market model estimation.
-\description{The data series is a daily time-series zoo object. The sample range for the data is from 2012-02-01 to 2014-01-31. It consists daily time series for firm returns (Infosys and TCS), market returns (Nifty returns) and currency returns (INR/USD). This data is used to demonstrate the AMM estimation.}
+ The data series is a daily time-series zoo object. The sample range for
+ the data is from 2012-02-01 to 2014-01-31. All series are in per cent.
+}
\usage{data(AMMData)}
\author{Vikram Bahure}
-\examples{
-library(zoo)
-data(AMMData)
-str(AMMData)
-}
-
\keyword{AMMData}
Modified: pkg/man/EESData.Rd
===================================================================
--- pkg/man/EESData.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/EESData.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -1,18 +1,15 @@
\name{EESData}
-
+\alias{EESData}
\docType{data}
-\alias{EESData}
-
\title{Returns data used for extreme events analysis}
-\description{A daily time series object for S&P 500 and the NIFTY Index.}
+\description{This data set is used to demonstrate extreme events study
+ functionality of the package. It contains daily returns data (in per
+ cent) of S&P 500 and the NIFTY Index.}
\usage{data(EESData)}
-\format{\code{zoo}}
+\author{Chirag Anand}
-\examples{
- data(EESData)
-}
\keyword{datasets}
Modified: pkg/man/NiftyIndex.Rd
===================================================================
--- pkg/man/NiftyIndex.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/NiftyIndex.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -4,14 +4,11 @@
\title{NSE Nifty index from 2004 to 2012}
-\description{A sample time series of Nifty index return from 1990 to
- 2012.}
+\description{Time series of Nifty index return (in per cent) from 1990
+ to 2012.}
\usage{data(NiftyIndex)}
-\format{\pkg{zoo}}
+\author{Vikram Bahure}
-\examples{
-data(NiftyIndex)
-}
-\keyword{datasets}
+\keyword{NiftyIndex}
Modified: pkg/man/SplitDates.Rd
===================================================================
--- pkg/man/SplitDates.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/SplitDates.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -1,12 +1,10 @@
\name{SplitDates}
-
+\alias{SplitDates}
\docType{data}
-\alias{SplitDates}
+\title{Data set of events used to perform event study analysis}
-\title{Sample data containing set of events to perform eventstudy analysis.}
-
-\description{ This data set contains stock split event dates for the index
+\description{This data set contains stock split event dates for the index
constituents of the Bombay Stock Exchange index (SENSEX). The data
format follows the required format in the function
\code{phys2eventtime}, with two columns 'outcome.unit' (firm name) and
@@ -14,9 +12,6 @@
\usage{data(SplitDates)}
-\format{\code{data.frame}}
+\author{Vikram Bahure}
-\examples{
- data(SplitDates)
-}
\keyword{datasets}
Modified: pkg/man/StockPriceReturns.Rd
===================================================================
--- pkg/man/StockPriceReturns.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/StockPriceReturns.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -1,20 +1,15 @@
\name{StockPriceReturns}
-
+\alias{StockPriceReturns}
\docType{data}
-\alias{StockPriceReturns}
+\title{Stock price returns data}
-\title{Sample data containing stock price returns}
+\description{This data set contains stock price returns (in per cent) of
+ 30 major stocks on the National Stock Exchange (NSE) of India for a
+ period of 23 years.}
-\description{This data set contains stock price returns of 30 major
- stocks on the National Stock Exchange (NSE) of India for a period of 23
- years.}
-
\usage{data(StockPriceReturns)}
-\format{\code{zoo}}
+\author{Vikram Bahure}
-\examples{
- data(StockPriceReturns)
-}
\keyword{datasets}
Modified: pkg/man/ees.Rd
===================================================================
--- pkg/man/ees.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/ees.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -80,21 +80,12 @@
\url{http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2013.12032.x/abstract}
\url{http://macrofinance.nipfp.org.in/releases/PatnaikShahSingh2013_Foreign_Investors.html}
}
-
- To convert number to words, code uses function
- \href{http://finzi.psych.upenn.edu/R/Rhelp02a/archive/46843.html}{\dQuote{numbers2words}}
- by \href{http://socserv.mcmaster.ca/jfox/}{John Fox} and
- \dQuote{deprintize} function by \href{http://mbq.me/}{Miron Kursa}.
}
\author{Vikram Bahure, Vimal Balasubramaniam}
\examples{
-library(eventstudies)
data(EESData)
-## Input S&P 500 as the univariate series
-input <- EESData$sp500
-## Constructing summary statistics for 5% tail values (5% on both sides)
-output <- ees(input, prob.value = 5)
-str(output)
+r <- ees(EESData$sp500, prob.value = 5)
+str(r, max.level = 2)
}
Modified: pkg/man/eesPlot.Rd
===================================================================
--- pkg/man/eesPlot.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/eesPlot.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -69,9 +69,7 @@
\author{Vikram Bahure, Vimal Balasubramaniam}
\examples{
-library(eventstudies)
data(EESData)
-## Generating event study plots (using modified event study methodology)
eesPlot(z = EESData,
response.series.name = "nifty",
event.series.name = "sp500",
Modified: pkg/man/eventstudy.Rd
===================================================================
--- pkg/man/eventstudy.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/eventstudy.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -202,8 +202,6 @@
}
\examples{
-## Performing event study
-library(eventstudies)
data("StockPriceReturns")
data("SplitDates")
Modified: pkg/man/excessReturn.Rd
===================================================================
--- pkg/man/excessReturn.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/excessReturn.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -27,7 +27,6 @@
data(StockPriceReturns)
data(NiftyIndex)
-## Excess return
er.result <- excessReturn(firm.returns = StockPriceReturns,
market.returns = NiftyIndex)
Modified: pkg/man/inference.bootstrap.Rd
===================================================================
--- pkg/man/inference.bootstrap.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/inference.bootstrap.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -30,7 +30,7 @@
}
\item{to.plot}{a \sQuote{logical} indicating whether to generate an
- eventstudy plot of the inference estimated. Defaults to
+ event study plot of the inference estimated. Defaults to
\sQuote{TRUE}.
}
@@ -61,7 +61,7 @@
\examples{
data(StockPriceReturns)
data(SplitDates)
-## Converting physical dates to event time frame
+
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
@@ -69,10 +69,7 @@
start = -5,
end = +5)
-## Cumulating event window
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
-
-## Constructing confidence interval using bootstrap inference strategy
inference.bootstrap(es.w = eventtime,
to.plot = FALSE)
}
Modified: pkg/man/inference.wilcox.Rd
===================================================================
--- pkg/man/inference.wilcox.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/inference.wilcox.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -27,7 +27,7 @@
}
\item{to.plot}{a \sQuote{logical} indicating whether to generate an
- eventstudy plot of the inference estimated. Defaults to
+ event study plot of the inference estimated. Defaults to
\sQuote{TRUE}.
}
@@ -55,14 +55,12 @@
\examples{
data(StockPriceReturns)
data(SplitDates)
-## Converting physical dates to event time frame
+
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
-
-## Cumulating event window
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
-## Constructing confidence interval using wilcoxon inference strategy
+
inference.wilcox(es.w = eventtime, to.plot = FALSE)
}
Modified: pkg/man/lmAMM.Rd
===================================================================
--- pkg/man/lmAMM.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/lmAMM.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -85,14 +85,12 @@
market.returns <- AMMData[,"index.nifty"]
currency.returns <- AMMData[,"currency.inrusd"]
-## Creating regressors for AMM estimation using makeX function
X <- makeX(market.returns,
others = currency.returns,
switch.to.innov = FALSE,
market.returns.purge = FALSE,
verbose = FALSE)
-## Augmented market model residual
amm.result <- lmAMM(firm.returns, X, nlags = 0, verbose = FALSE)
plot(amm.result)
Modified: pkg/man/makeX.Rd
===================================================================
--- pkg/man/makeX.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/makeX.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -79,7 +79,6 @@
market.returns <- AMMData$index.nifty
currency.returns <- AMMData$currency.inrusd
-## Constructing regressors (independent variables) for AMM
X <- makeX(market.returns,
others = currency.returns,
switch.to.innov = FALSE,
Modified: pkg/man/manyfirmssubperiod.lmAMM.Rd
===================================================================
--- pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/manyfirmssubperiod.lmAMM.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -59,16 +59,12 @@
}
\examples{
-
-## Running manyfirmssubperiod.lmAMM() involves as many steps as working
-## with onefirmAMM.
data("AMMData")
firm.returns <- AMMData[, c("Infosys","TCS")]
market.returns <- AMMData[, "index.nifty"]
currency.returns <- AMMData[, "currency.inrusd"]
-## Creating X for AMM estimation using makeX function
X <- makeX(market.returns,
others = currency.returns,
nlags = 1,
@@ -77,7 +73,6 @@
verbose = FALSE,
dates = as.Date(c("2012-02-01", "2013-01-01", "2014-01-20")))
-## Estimating exposure
res <- manyfirmssubperiod.lmAMM(firm.returns = firm.returns,
X = X,
lags = 1,
Modified: pkg/man/marketResidual.Rd
===================================================================
--- pkg/man/marketResidual.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/marketResidual.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -24,7 +24,6 @@
data(StockPriceReturns)
data(NiftyIndex)
-## Market model residual
mm.result <- marketResidual(firm.returns = StockPriceReturns,
market.returns = NiftyIndex)
Modified: pkg/man/phys2eventtime.Rd
===================================================================
--- pkg/man/phys2eventtime.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/phys2eventtime.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -78,7 +78,6 @@
data(StockPriceReturns)
data(SplitDates)
-## Converting physical dates to event time
result <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
Modified: pkg/man/remap.cumprod.Rd
===================================================================
--- pkg/man/remap.cumprod.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/remap.cumprod.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -37,19 +37,16 @@
data(StockPriceReturns)
data(SplitDates)
-## Converting to event time frame
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
-## Cumulating (geometric product) event window output
eventtime <- remap.cumprod(es.w,
is.pc = TRUE,
is.returns = TRUE,
base = 100)
-## Comparing abnormal returns (AR) and cumulative (geometric) abnormal returns (CAR)
check.output <- cbind(es.w[,1], eventtime[,1])
colnames(check.output) <- c("abnormal.returns", "cumulative.abnormal.returns")
check.output
Modified: pkg/man/remap.cumsum.Rd
===================================================================
--- pkg/man/remap.cumsum.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/remap.cumsum.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -39,13 +39,10 @@
data(StockPriceReturns)
data(SplitDates)
-## Converting to event time frame
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
-
-## Cumulating (arithmetic) event window output
eventtime <- remap.cumsum(es.w, is.pc = FALSE, base = 0)
## Comparing abnormal returns (AR) and cumulative abnormal returns (CAR)
Modified: pkg/man/remap.event.reindex.Rd
===================================================================
--- pkg/man/remap.event.reindex.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/remap.event.reindex.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -29,13 +29,12 @@
data(StockPriceReturns)
data(SplitDates)
-## Converting to event time frame
es.results <- phys2eventtime(z = StockPriceReturns,
events = SplitDates,
width = 5)
es.w <- window(es.results$z.e, start = -5, end = +5)
-## Reindexing event time (t=0) to 100
eventtime <- remap.event.reindex(es.w)
-head(eventtime[,1:5])
+
+head(eventtime[, 1:5])
}
Modified: pkg/man/subperiod.lmAMM.Rd
===================================================================
--- pkg/man/subperiod.lmAMM.Rd 2014-05-02 18:15:53 UTC (rev 312)
+++ pkg/man/subperiod.lmAMM.Rd 2014-05-09 17:34:22 UTC (rev 313)
@@ -67,12 +67,10 @@
\examples{
data("AMMData")
-## Create RHS before running subperiod.lmAMM()
firm.returns <- AMMData$Infosys
market.returns <- AMMData$index.nifty
currency.returns <- AMMData$currency.inrusd
-## Constructing regressors for AMM
regressors <- makeX(market.returns,
others = currency.returns,
switch.to.innov = TRUE,
@@ -81,7 +79,6 @@
dates = as.Date(c("2012-02-01","2013-01-01","2014-01-20")),
verbose = FALSE)
-## Run AMM for one firm across different periods
res <- subperiod.lmAMM(firm.returns,
X = regressors,
nlags = 1,
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