Nothing
download_data_wrds()
.estimate_model()
, estimate_betas()
, and estimate_fama_macbeth()
.download_data_wrds_clean_trace()
to download_data_wrds_trace_enhanced()
for improved consistency.vcov_options
parameter to estimate_fama_macbeth()
.list_supported_indexes()
and download_data_constituents()
to download index constituents.estimate_betas()
to estimate risk factor betas.estimate_fama_macbeth()
to estimate Fama-MacBeth models.download_data_constituents()
to download index constituents. download_data_osap()
to download data from Open Source Asset Pricing.download_data_fred()
to download data from Federal Reserve Economic Data.compute_portfolio_returns()
to implement different portfolio sorting approaches.compute_long_short_returns()
to quickly compute long-short portfolio returns.compute_breakpoints()
to make assign_portfolio()
more flexible. breakpoint_options()
and data_options()
to provide more flexibility with respect to column names.mktcap_lag
in monthly CRSP.cli
for error messages and warnings.NULL
for optional default values. readxl
dependency from download_data_macro_predictors()
.check_if_package_installed()
function. estimate_model()
to support both estimate_betas()
and estimate_fama_macbeth()
.assign_portfolio()
to support compute_portfolio_returns()
.download_data_stocks()
to download_data_stock_prices()
for better naming.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.download_data_stocks()
.wrds_compustat_quarterly
. additional_columns
option for CRSP and Compustat instead of having the error prone option to pass columns via ...
.-999
by NA in Fama-French types, which was missing in the initial implementation. download_data_factors()
to support all available column names in the Fama-French universe.start_date
and end_date
optional with a message to user which dates are used as defaults.date
column and its references across WRDS types (see corresponding vignette for more information).tidyfinance-package.R
file. tidyverse
style.domain
and as_vector
parameters to list_supported_types()
...
with additional_columns
parameter and ensured that CRSP and Compustat types consider it correctlymkt_excess
column from type "wrds_crsp_monthly"fixed = TRUE
to grepl()
calls with fixed stringsNA_real_
instead of as.double(NA)
toString()
instead of paste0()
with collapsedplyr::between()
instead of unequal signsvignettes/using-tidyfinance
set_wrds_credentials()
function for a guided tour to store login data"factors_ff_industry_*"
data typeshml
and smb
columns from "wrds_crsp_monthly"
output"v2"
of "wrds_crsp_*"
data typesdownload_data*
functions into multiple files for better maintenanceAny scripts or data that you put into this service are public.
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