Get cumulative abnormal returns

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Question by lorenzo.cerreta · Oct 18 at 03:16 PM · python api timeseries eikonapi price

Get cumulative abnormal returns

I need to estimate CAR for a bunch of bonds issuers, so I am starting by getting their closing price. I am unable to resample with a single index and get the data on different columns.

bonds, err = ek.get_data(
    df['Ultimate Parent ID'],
    ['TR.PriceClose.date', 'TR.PriceClose'],
    {'SDate': '2020-01-01',
     'EDate': '2020-10-01'})

What I get is:

I would prefer to get a single timeseries with a column for each instrument, but I am unable to rearrange the df. Should I use ek.get_timeseries instead?

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Answer 1 · 2020-10-19T05:37:46Z

REFINITIV

Best Answer

Answer by chavalit.jintamalit · Oct 19 at 05:37 AM

Hi @lorenzo.cerreta

You can use pivot() and transpose() functions from dataframe.

Here is an example:

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lorenzo.cerreta · Oct 19 at 06:49 AM 0

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Thanks for the great answer!

Get cumulative abnormal returns

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