BDA.loader: Beta Drift Anaylsis Data Loader

Description Usage Arguments Details Value Author(s) Examples

Description

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

Usage

1
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 <mp.auer@meanerreversion.com>

Examples

1
testframe <- BDA.loader(symbol = "XOM")


Search within the bdrift package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.