[Eventstudies-commits] r328 - in pkg: data man

[noreply at r-forge.r-project.org]

Author: chiraganand
Date: 2014-05-14 19:12:10 +0200 (Wed, 14 May 2014)
New Revision: 328

Modified:
   pkg/data/OtherReturns.rda
   pkg/data/StockPriceReturns.rda
   pkg/man/StockPriceReturns.Rd
   pkg/man/eventstudy.Rd
Log:
Changed other returns and stock price returns data set, limited to 2.5 years. Made the eventstudy example simpler.

Modified: pkg/data/OtherReturns.rda
===================================================================
(Binary files differ)

Modified: pkg/data/StockPriceReturns.rda
===================================================================
(Binary files differ)

Modified: pkg/man/StockPriceReturns.Rd
===================================================================
--- pkg/man/StockPriceReturns.Rd	2014-05-14 14:40:00 UTC (rev 327)
+++ pkg/man/StockPriceReturns.Rd	2014-05-14 17:12:10 UTC (rev 328)
@@ -5,8 +5,7 @@
 \title{Stock price returns data}
 
 \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.}
+  30 major stocks on the National Stock Exchange (NSE) of India.}
 
 \usage{data(StockPriceReturns)}
 

Modified: pkg/man/eventstudy.Rd
===================================================================
--- pkg/man/eventstudy.Rd	2014-05-14 14:40:00 UTC (rev 327)
+++ pkg/man/eventstudy.Rd	2014-05-14 17:12:10 UTC (rev 328)
@@ -213,6 +213,7 @@
 \examples{ 
 data("StockPriceReturns")
 data("SplitDates")
+data("OtherReturns")
 
 ## Event study without adjustment
 es <- eventstudy(firm.returns = StockPriceReturns,
@@ -227,21 +228,11 @@
 plot(es)
 
 ## Event study using Augmented Market Model
-data("OtherReturns")
-
 events <- data.frame(outcome.unit = c("Infosys", "TCS"),
                      event.when = c("2012-04-01", "2012-06-01"),
                      stringsAsFactors = FALSE)
 
-ammdata <- merge.zoo(Infosys = StockPriceReturns$Infosys,
-                     TCS = StockPriceReturns$TCS,
-                     NiftyIndex = OtherReturns$NiftyIndex,
-                     INRUSD = OtherReturns$INRUSD,
-                     CallMoneyRate = OtherReturns$CallMoneyRate,
-                     all = FALSE)
-ammdata <- window(ammdata, start = "2012-02-01", end = "2012-12-31")
-
-es <- eventstudy(firm.returns = ammdata[, c("Infosys", "TCS")],
+es <- eventstudy(firm.returns = StockPriceReturns,
                  eventList = events,
                  width = 10,
                  type = "lmAMM",
@@ -250,8 +241,8 @@
                  inference = TRUE,
                  inference.strategy = "bootstrap",
                                                  # model arguments
-                 market.returns = ammdata[, "NiftyIndex"],
-                 others = ammdata[, c("INRUSD", "CallMoneyRate")],
+                 market.returns = OtherReturns[, "NiftyIndex"],
+                 others = OtherReturns[, c("USDINR", "CallMoneyRate")],
                  market.returns.purge = TRUE
                  )
 str(es)