jf

Author: tevgeniou

create_tool_data.R

@@ -0,0 +1,42 @@
+#  Copyright 2015, INSEAD
+#  by T. Evgeniou, Enric Junque de Fortuny, Nick Nassuphis, Theo Vermaelen 
+#  Dual licensed under the MIT or GPL Version 2 licenses.
+
+
+##########################################################################################
+# Creates a small subset of the data only used for the interactive tool - to load faster
+##########################################################################################
+
+rm(list=ls()) # Clean up the memory, if we want to rerun from scratch
+load("bb_issuers_new.Rdata")
+
+BUYBACK_DATA_TOOL = data.frame(
+  
+  Prior.Returns.Score = BUYBACK_DATA$DATASET$CRSP$recent_performance_score,
+  BE.ME.Score = BUYBACK_DATA$DATASET$CRSP$BE.ME_score,
+  Size.Score = BUYBACK_DATA$DATASET$CRSP$Market.Cap_score,
+  Valuation.Index = BUYBACK_DATA$Valuation_Index,
+  EU.Index = sapply(1:length(BUYBACK_DATA$DATASET$SDC$Event.Date), function(i){
+    ifelse(High_Idiosyncr_eventsBB[i], 2, ifelse(Low_Idiosyncr_eventsBB[i], 0, 1)) +
+      ifelse(High_VOL_eventsBB[i], 2, ifelse(Low_VOL_eventsBB[i], 0, 1)) +
+      ifelse(company_subset_undervalued_bb[i], 2, ifelse(company_subset_overvalued_bb[i], 0, 1))
+  }),
+  Market.Cap = BUYBACK_DATA$DATASET$CRSP$Market.Cap,
+  Percent.Shares = BUYBACK_DATA$DATASET$SDC$Event.Size,
+  Market.beta.Score = BUYBACK_DATA$DATASET$CRSP$Market.Cap_score,
+  one.minus.Rsq.Score = 1-BUYBACK_DATA$DATASET$CRSP$Rsq_score,
+  pre.vol.Score = BUYBACK_DATA$DATASET$CRSP$pre_vol_Score,
+  ivol.Score = BUYBACK_DATA$DATASET$CRSP$IVOL_score,
+  leverage.ratio = BUYBACK_DATA$DATASET$CRSP$leverage_lt_over_lt_plus_e,
+  Event.Date = BUYBACK_DATA$DATASET$SDC$Event.Date,
+  Event.Size = BUYBACK_DATA$DATASET$SDC$Event.Size,
+  Industry_name = BUYBACK_DATA$DATASET$SDC$Industry_name
+  
+)
+Risk_Factors_Monthly <- BUYBACK_DATA$Risk_Factors_Monthly
+returns_by_event_monthly <- BUYBACK_DATA$DATASET$returns_by_event_monthly
+DatesMonth = BUYBACK_DATA$DATASET$DatesMonth
+
+save(BUYBACK_DATA_TOOL,Risk_Factors_Monthly,returns_by_event_monthly,DatesMonth, file = "bb_issuersTOOL.Rdata")
+
+