tidyfinance 0.4.3
tidyfinance 0.4.3.
Bug fixes
download_constituents() and
download_stock_prices() now also fail gracefully with
informative messages instead of errors or warnings.download_factors() returns empty data frame with
date column to ensure vignettes are built even if resources
are unavailable.
Improvements
- Unified
start_date and end_date validation
across applications.
- Updated tests of
download_*() functions to cover
unavailable or broken resources.
tidyfinance 0.4.2
New features
- Added experimental
add_lag_columns() function that is
more efficient than lag_column()
Bug fixes
download_macro_predictors(),
download_factors(), and download_osap() now
fail gracefully with informative messages instead of errors or
warnings.
Improvements
- Updated
ccmxpf_linktable to the new WRDS default
ccmxpf_lnkhist.
- Added support for “factors_q5_annual” in
download_factors_q()
- Optimized
winsorize() by reducing quantile
recalculations
tidyfinance 0.4.1
Bug fixes
- Added missing support of “wrds_trace_enhanced” and “wrds_fisd”
support to
download_data_wrds().
- Added intercept to
estimate_model(),
estimate_betas(), and
estimate_fama_macbeth().
Improvements
- Renamed
download_data_wrds_clean_trace() to
download_data_wrds_trace_enhanced() for improved
consistency.
- Added
vcov_options parameter to
estimate_fama_macbeth().
tidyfinance 0.4.0
New features
- Added
list_supported_indexes() and
download_data_constituents() to download index
constituents.
- Added
estimate_betas() to estimate risk factor
betas.
- Added
estimate_fama_macbeth() to estimate Fama-MacBeth
models.
- Added
download_data_constituents() to download index
constituents.
- Added
download_data_osap() to download data from Open
Source Asset Pricing.
- Added
download_data_fred() to download data from
Federal Reserve Economic Data.
- Added
compute_portfolio_returns() to implement
different portfolio sorting approaches.
- Added
compute_long_short_returns() to quickly compute
long-short portfolio returns.
- Added
compute_breakpoints() to make
assign_portfolio() more flexible.
- Added
breakpoint_options() and
data_options() to provide more flexibility with respect to
column names.
Bug fixes
- Retained explicit missing values in
mktcap_lag in
monthly CRSP.
Improvements
- Migrated to
cli for error messages and warnings.
- Aligned documentation across functions.
- Switched to
NULL for optional default values.
- Removed dependency from named placeholder that is only available
from R 4.2 on.
- Removed
readxl dependency from
download_data_macro_predictors().
- Removed redundant
check_if_package_installed()
function.
- Updated
estimate_model() to support both
estimate_betas() and
estimate_fama_macbeth().
- Updated
assign_portfolio() to support
compute_portfolio_returns().
- Renamed
download_data_stocks() to
download_data_stock_prices() for better naming.
tidyfinance 0.3.0
New features
- Added support for all available Fama-French datasets (check via
list_supported_types()). All type names are created from a
string cleaning algorithm and are hence more consistent. We kept
implicit support for legacy type names to avoid breaking existing
code.
- Added new function to download stock data from Yahoo Finance:
download_data_stocks().
- Added support for
wrds_compustat_quarterly.
Bug fixes
- CRSP monthly data always contains the historically accurate stock
characteristics instead of the oft misleading most recent
information.
- Consistently implemented the
additional_columns option
for CRSP and Compustat instead of having the error prone option to pass
columns via ....
- Added replacement of
-999 by NA in Fama-French types,
which was missing in the initial implementation.
Improvements
- Refactored the column name cleaning procedure in
download_data_factors() to support all available column
names in the Fama-French universe.
- Made all
start_date and end_date optional
with a message to user which dates are used as defaults.
- Introduced automatic checks via GitHub Actions workflows.
- Synchronized
date column and its references across WRDS
types (see corresponding vignette for more information).
- Improved handling of imports with
tidyfinance-package.R
file.
- Reformatted DESCRIPTION and roxygen comments for more consistency
with
tidyverse style.
tidyfinance 0.2.1
New features
- Added
domain and as_vector parameters to
list_supported_types()
Bug fixes
- Replaced
... with additional_columns
parameter and ensured that CRSP and Compustat types consider it
correctly
- Removed
mkt_excess column from type
“wrds_crsp_monthly”
Improvements
- Added
fixed = TRUE to grepl() calls with
fixed strings
- Switched to
NA_real_ instead of
as.double(NA)
- Switched to
toString() instead of paste0()
with collapse
- Switched to
dplyr::between() instead of unequal
signs
tidyfinance 0.2.0
New features
- Added
vignettes/using-tidyfinance
- Added
set_wrds_credentials() function for a guided tour
to store login data
- Added support for
"factors_ff_industry_*" data
types
Bug fixes
- Removed
hml and smb columns from
"wrds_crsp_monthly" output
- Fixed stock filters for
"v2" of
"wrds_crsp_*" data types
Improvements
- Relaxed package version requirements as much as possible with the
current set of packages
- Split up the
download_data* functions into multiple
files for better maintenance
tidyfinance 0.1.0