extract: Access the wrds database

In GregoryBrownson/EAPR: Empirical Asset Pricing Research Platform

Description

This function accesses the wrds database and returns

Usage

extract(username, src = "wrds", fundamental.var = c("ME", "BE",
  "BE/ME", "A/ME", "A/BE", "OP", "INV", "E/P", "CF/P", "D/P"),
  from = as.Date("1963-07-31"), to = as.Date(paste0(format(Sys.Date() -
  years(1), "%Y"), "-12-31")), periodicity = "M",
  rebalance.freq = "A", drop.excess = T, preceding = 60,
  min.prec = 0.4)

Arguments

username	username for database
src	source of database
fundamental.var	fundamental variables to be computed/extracted
from	starting date
to	end date
periodicity	frequency of the data
rebalance.freq	how often portfolios are rebalanced
drop.excess	Drop variables used to calculate fundamentals and technicals
preceding	number of preceding periods to consider for technical variables
min.prec	minimum number of preceding periods necessary to compute technical variables

Value

An eapr object containing the merged crsp and compustat data (ccm), the time series of returns for the index and each security (market.dt),

GregoryBrownson/EAPR documentation built on Oct. 28, 2019, 7:27 p.m.