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question

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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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1 Answer

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Hi @lorenzo.cerreta

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

Here is an example:


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Thanks for the great answer!