BDA.loader: Beta Drift Anaylsis Data Loader

In bdrift: Beta Drift Analysis

Description

BDA.loader prepares a data frame to be used by the BDA function.

Usage

BDA.loader(symbol, frequency = "monthly", xbench = NA, type = "log", ...)

Arguments

symbol	stock ticker on Yahoo Finance, enter as character.
frequency	the frequency used to calculate returns ("daily", "monthly", or "yearly")
xbench	ticker symbol of an external benchmark, NA by default.
type	type of returns to be calculated ("log" or "arithmetic"). By default, log returns are used.
...	aditional commands passed to the getSymbols function.

Details

BDA.loader pulls stock price data from Yahoo Finance, calculates returns on these prices, downloads factor data from Kenneth French's library (via Quandl.com) and bundles all data in a xts-matrix that can be passed on to the BDA function.

Value

a xts-matrix containing the returns of the security, Kenneth French's asset pricing factors and the external benchmark (optional).

Author(s)

Markus Peter Auer <[e-mail]>

Examples

testframe <- BDA.loader(symbol = "XOM")

bdrift documentation built on May 29, 2017, 6:19 p.m.