NEWS.md

In tidyfinance: Tidy Finance Helper Functions

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

• Initial CRAN submission.

tidyfinance documentation built on Sept. 11, 2024, 7:08 p.m.