Data and Code for Financial Accounting Research

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Documentation for package ‘farr’ version 0.2.30

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aaer_dates AAER dates from SEC
aaer_firm_year AAERs from Bao et al. (2020)
apple_events Dates for Apple Events
auc Area under curve
aus_banks Australian banks
aus_bank_funds Australian bank fundamental data
aus_bank_rets Australian bank stock market data
bloomfield_2021 Firm-years in RDD analysis of Bloomfield (2021).
by_tag_year Tags on StackOverflow
comp Data on accruals and auditor choice
confusion_stats Confusion statistics.
fhk_firm_years Firm-years for replication of Fang, Huang and Karpoff (2016)
fhk_pilot Treatment indicators for SHO pilot firms
form_deciles Form deciles
get_annc_dates Produce a table mapping announcements to trading dates
get_event_cum_rets Produce a table of cumulative event returns
get_event_cum_rets_mth Produce a table of cumulative event returns using monthly data
get_event_dates Produce a table mapping announcements to trading dates
get_event_rets Produce a table of event returns
get_ff_ind Fetch Fama-French industry grouping.
get_got_data Generate simulated data as described in Gow, Ormazabal and Taylor (2010).
get_idd_periods Period for Inevitable Disclosure Doctrine (IDD)
get_me_breakpoints Create a table of with cut-offs for size portfolios
get_size_rets_monthly Create a table of monthly returns for size portfolios
get_test_scores A function returning data on test_scores.
get_trading_dates Produce a table mapping dates on CRSP to "trading days"
idd_dates Dates for Inevitable Disclosure Doctrine (IDD)
iliev_2010 Data on public float.
llz_2018 GVKEYs used in Li, Lin and Zhang (2018)
michels_2017 Data on firms suffering natural disasters.
ndcg Calculate metric metric: NDCG at k
roc A function returning data for a ROC plot.
rus Random under-sampling function Function to create temporary training dataset using distribution implied
rusboost RUSBoost for two-class problems
sho_r3000 Russell 3000 stocks at time of SEC Reg SHO sample formation.
sho_r3000_gvkeys Russell 3000 sample used by SEC with GVKEYs
sho_r3000_sample Russell 3000 sample used by SEC
sho_tickers Tickers of pilot firms for Reg SHO.
state_hq Data on firm headquarters based on SEC EDGAR filings.
test_scores Test scores
truncate Truncate a vector.
undisclosed_names Customer names that represent non-disclosures.
winsorize Winsorize a vector.
zhang_2007_events Event dates from Zhang (2007)
zhang_2007_windows Event windows from Zhang (2007)