Event study conundrum

[Jude Eastwood]

Hi, 

I am currently trying to run an event study for final project in school and I keep hitting road blocks, I am able to run the event study using the event studies package however, I am unable to calculate market return or run that with the package. I am attaching my data and codes and would be glad to have some assistance. 

Kindly see errors I keep encountering below:

 

> # Event study using Market Model

> es.mm = eventstudy(firm.returns = stprices,

+                    event.list = stockdates,

+                    event.window = 30,

+                    type = "None",

+                    remap = "cumsum",

+                    inference = TRUE, 

+                    inference.strategy = "bootstrap",

+                  model.args = list(

+                    market.returns = stprices[, "GSPTSE"]

+                  )

+ )

Warning message:

In eventstudy(firm.returns = stprices, event.list = stockdates,  :

  "type" = "None" does not take extra arguments, ignoring them.

> # Event study using Market Model

> es.mm = eventstudy(firm.returns = stprices,

+                    event.list = stockdates,

+                    event.window = 30,

+                    type = "marketModel",

+                    remap = "cumsum",

+                    inference = TRUE, 

+                    inference.strategy = "bootstrap",

+                  model.args = list(

+                    market.returns = stprices[, "GSPTSE"]

+                  )

+ )

Error in rval[i, j, drop = drop., ...] : subscript out of bounds

 

This are the codes I run: 

rm(list = ls())

cat("\014")  

this.dir = dirname(parent.frame(2)$ofile)

setwd(this.dir)

#Set the list of packages required

packageList = c("eventstudies")

#Function to test of a package is installed

newPackages = packageList[!(packageList %in% installed.packages()[,"Package"])]

if(length(newPackages)){

  install.packages(newPackages)

} 

#Install all packages that are not already installed

lapply(packageList, library, character.only = TRUE)

other_return = read.csv("/Users/mbp/Documents/othprice.csv")

other_return$Date = as.Date(other_return$Date, "%m/%d/%Y")

str(other_return)

stockdates = read.csv("/Users/mbp/Documents/eveproj/stockdates.csv")

stockdates$when = as.Date(stockdates$when, "%m/%d/%Y")

stprices = read.csv("/Users/mbp/Documents/eveproj/Stprices.csv")

zoo_index = as.Date(stprices$Date, "%m/%d/%Y")

stprices = stprices[,2:ncol(stprices)]

for(i in 2:length(colnames(stprices))){

  

  stprices[2:nrow(stprices),i] = (stprices[2:nrow(stprices),i]/stprices[1:(nrow(stprices)-1),i])-1

  stprices[1,i] = NA

  

  

}

stprices = zoo(stprices, order.by = zoo_index)

str(stprices)

# Event study 

es = eventstudy(firm.returns = stprices,

                event.list = stockdates,

                event.window = 30,

                type = "None",

                remap = "cumsum",

                inference = TRUE, 

                inference.strategy = "bootstrap")

               

str(es)

plot(es)

# Event study using Market Model

es.mm = eventstudy(firm.returns = stprices,

                   event.list = stockdates,

                   event.window = 30,

                   type = "marketModel",

                   remap = "cumsum",

                   inference = TRUE, 

                   inference.strategy = "bootstrap",

                 model.args = list(

                   market.returns = stprices[, "GSPTSE"]

                 )

)

str(es.mm)

plot(es.mm)

Thank you.