R/stocksCRSPdailyweekly.R

In PCRA: Companion to Portfolio Construction and Risk Analysis

#' @title CRSP daily stocks data for 294 stocks
#'
#' @description CRSP daily stocks data for 294 stocks for 1993 to 2015.
#' This dataset is not shipped with the package due to CRAN package size
#' limits. Download it with \code{stocksCRSPdaily <-
#' getPCRAData(dataset = "stocksCRSPdaily")}.
#'
#' @docType data
#'
#' @name stocksCRSPdaily
#'
#' @format A data.table object with 82000 observations on 15 variables:
#' \itemize{
#'  \item \strong{Date:} type `Date`.
#'  \item \strong{TickerLast:} type `chr`. The ticker as of December 2015
#'  \item \strong{Ticker:} type `chr`. Monthly ticker
#'  period
#'  \item \strong{Company:} type `chr`. The name of company with TickerLast
#'  \item \strong{CapGroupLast:} type `chr`. Company market capitalization group
#'  as of December 2015, one of: MicroCap, SmallCap, MidCap or LargeCap
#'  \item \strong{CapGroup:} type `chr`. Monthly market capitalization group
#'  \item \strong{GICS:} type `chr`. 6 digit S&P GICS code
#'  \item \strong{Sector:} type `chr`. One of 10 sectors specified by the first
#'  two digits of the GICS code
#'  \item \strong{Return:} type `num`. Arithmetic stock return from one period
#'  to the next in decimal form
#'  \item \strong{RetExDiv:} type `num`.
#'  \item \strong{Price:} type `num`. Stock price at each time period in decimal
#'  form
#'  \item \strong{PrcSplitAdj:} type `num`.
#'  \item \strong{Ret4WkBill:} type `num`. Return of 4 week Treasury bill
#'  \item \strong{Ret13WkBill:} type `num`. Return of 13 week Treasury bill
#'  \item \strong{Ret1YrBill:} type `num`. Return of 1 year Treasury bill
#'  \item \strong{mktIndexCRSP:} type `num`. CRSP value weighted market return
#' }
#' 
#' @source Unknown
#' 
#' @examples
#' \donttest{
#' stocksCRSPdaily <- getPCRAData(dataset = "stocksCRSPdaily")
#' }
#'
NULL



#' @title CRSP weekly stocks data for 294 stocks
#'
#' @description CRSP Weekly stocks data for 294 stocks for 1993 to 2015.
#' This dataset is not shipped with the package due to CRAN package size
#' limits. Download it with \code{stocksCRSPweekly <-
#' getPCRAData(dataset = "stocksCRSPweekly")}.
#'
#' @docType data
#'
#' @name stocksCRSPweekly
#'
#' @format A data.table object with 82000 observations on 15 variables:
#' \itemize{
#'  \item \strong{Date:} type `Date`.
#'  \item \strong{TickerLast:} type `chr`. The ticker as of December 2015
#'  \item \strong{Ticker:} type `chr`. Monthly ticker
#'  period
#'  \item \strong{Company:} type `chr`. The name of company with TickerLast
#'  \item \strong{CapGroupLast:} type `chr`. Company market capitalization group
#'  as of December 2015, one of: MicroCap, SmallCap, MidCap or LargeCap
#'  \item \strong{CapGroup:} type `chr`. Monthly market capitalization group
#'  \item \strong{GICS:} type `chr`. 6 digit S&P GICS code
#'  \item \strong{Sector:} type `chr`. One of 10 sectors specified by the first
#'  two digits of the GICS code
#'  \item \strong{Return:} type `num`. Arithmetic stock return from one period
#'  to the next in decimal form
#'  \item \strong{RetExDiv:} type `num`.
#'  \item \strong{Price:} type `num`. Stock price at each time period in decimal
#'  form
#'  \item \strong{PrcSplitAdj:} type `num`.
#'  \item \strong{Ret4WkBill:} type `num`. Return of 4 week Treasury bill
#'  \item \strong{Ret13WkBill:} type `num`. Return of 13 week Treasury bill
#'  \item \strong{Ret1YrBill:} type `num`. Return of 1 year Treasury bill
#'  \item \strong{mktIndexCRSP:} type `num`. CRSP value weighted market return
#' }
#' 
#' @source Unknown
#' 
#' @examples
#' \donttest{
#' stocksCRSPweekly <- getPCRAData(dataset = "stocksCRSPweekly")
#' }
#'
NULL