Code to illustrate calculation of returns in R

illustrate_returns.R

Sys.setenv(PGHOST="iangow.me", PGDATABASE="crsp")
devtools::source_url(paste0("https://raw.githubusercontent.com/iangow/",
                           "acct_data/master/code/getEventReturnsDaily.R"))

sql <- "
    SELECT DISTINCT permno, comnam, gvkey, rdq
    FROM crsp.stocknames AS a
    INNER JOIN crsp.ccmxpf_linktable AS b
    ON a.permno=b.lpermno
    INNER JOIN comp.fundq
    USING (gvkey)
    WHERE siccd=3571 AND datadate BETWEEN '2009-09-01' AND '2009-12-31'
    LIMIT 100"

library(RPostgreSQL)

pg <- dbConnect(PostgreSQL())

events <- dbGetQuery(pg, sql)

rs <- dbDisconnect(pg)

rets <- getEventReturns(events$permno, events$rdq, days.before=0, days.after=4)