Stock splits performance R

Question

I need to evaluate the post split stock performance with the quantmod package in R for NYSE,AMEX,NASDAQ. My problem is that I'm only able to look up specific symbols ( getSymbols()), but I need to separate my data into non splitting firms and splitting firms, to compare them. Does anyone have an idea how I can do this for the last 25 years ?

Thanks

Answer 1

Since you're using the quantmod package, you can use getSplits() function to determine which splits a stock has had within a certain timeframe. Since you're dealing with a large number of stocks, you can use a custom function to get what you want.

getSymbolSplit <- function(symbol,xts,date) {
  splitCheck <- getSplits(symbol,from = date)
  if(anyNA(splitCheck, recursive = FALSE)){
    xts$Split <- 0
  } else {
    xts$Split <- 1
  }
  return(xts)
}

Once you have that function, you can quickly add a split to the existing stocks data. Example:

getSymbols('GOOG')
GOOG <- getSymbolSplit('GOOG',GOOG,'1993-01-01')

The getSymbols() function creates the xts named GOOG, so our function checks if any splits have happened since 1993-01-01 (yes) and adds a column Split with the value of 1.

getSymbols('REGN')
REGN <- getSymbolSplit('REGN',REGN,'1993-01-01')

Same deal, but REGN has had no splits since 1993 and the column has a value of 0.

Now you have a clear binary variable for grouping between firms that have had a split in your given timeframe.

As a warning, I encountered a problem with BRK-A. R does not normally permit names that include a '-', and the function breaks when trying to pass an xts named BRK-A. If you have stocks that use a - in their symbol, I recommend you rename them before using them. This function is not the only place where the dash could cause problems.