tech_returns {event2car}R Documentation

The Trump election and stock returns of 18 US tech firms.

Description

Datset containing stock returns of 18 important US tech firms (See https://finance.yahoo.com/u/yahoo-finance/watchlists/tech-stocks-that-move-the-market/), the NASDAQ return. The dataset covers trading days between 2015-11-09 and 2017-11-08. This results in 503 trading days.

Usage

data("tech_returns", package="estudy2car")

Format

An objects of class zoo.

^NDX

NASDAQ return from 2015-11-09 to 2017-11-08.

MSFT

Microsoft's from 2015-11-09 to 2017-11-08.

AMZ

Amazon's from 2015-11-09 to 2017-11-08.

AAPL

Apple's from 2015-11-09 to 2017-11-08.

GOOG

Google's from 2015-11-09 to 2017-11-08.

FB

Facebook's from 2015-11-09 to 2017-11-08.

BABA

Alibaba's from 2015-11-09 to 2017-11-08.

INTC

Intel's from 2015-11-09 to 2017-11-08.

PYPL

PayPal's from 2015-11-09 to 2017-11-08.

NVDA

NVIDIA's from 2015-11-09 to 2017-11-08.

TSLA

Tesla's from 2015-11-09 to 2017-11-08.

ATVI

Activision Blizzard's from 2015-11-09 to 2017-11-08.

AMD

Advanced Micro's from 2015-11-09 to 2017-11-08.

EA

Electronic Arts's from 2015-11-09 to 2017-11-08.

MTCH

Match Group's from 2015-11-09 to 2017-11-08.

TTD

The Trade Desk's from 2015-11-09 to 2017-11-08.

ZG

Zillow Group's from 2015-11-09 to 2017-11-08.

YELP

Yelp's from 2015-11-09 to 2017-11-08.

TIVO

TiVo's from 2015-11-09 to 2017-11-08.

...

Source

https://finance.yahoo.com/

Examples

data('tech_returns')
trumpelection <- as.Date("2016-11-08")
returns_firms=tech_returns[,2:19]
return_indx = tech_returns[,1]
# mean adjusted model
event2car(returns=returns_firms,regressor=return_indx,
          event_dates=trumpelection,market_model="mean_adj")
# market adjusted model (out-of sample estimation)
event2car(returns=returns_firms,regressor=return_indx,
          event_dates=trumpelection,market_model="mrkt_adj")
# market adjusted model (within sample estimation)
event2car(returns=returns_firms,regressor=return_indx,
          event_dates=trumpelection,market_model="mrkt_adj_within")

[Package event2car version 1.0 Index]