usresearch_download: The usresearch_download function

In antshi/ffData: Automatic download of returns data from the Kenneth R. French Data Library

The usresearch_download function

Description

This function automatically downloads US-Research portfolios returns from the Kenneth R. French Data Library. The downloaded returns are saved then as a .csv-file in the chosen directory.

Usage

usresearch_download(
  base,
  dir,
  sub_path,
  number_factors,
  freq,
  start,
  end,
  clean_na
)

Arguments

base	a character string, the Kenneth R. French Data Library address.
dir	a character string, the directory for saving the data. The current working directory is set by default.
sub_path	a character string, the folder subpath, created by ffDataDownload.
number_factors	an integer, the number of factors for the USResearch portfolios. Possible values are 3 (default) and 5.
freq	a character string, the frequency of returns. Possible values are "m" for monthly (default) or "d" for daily.
start	a character string, start date for the download in the format "YYmm". Default value is 197501.
end	a character string, end date for the download in the format "YYmm". Default value is two months before Sys.Date() to insure availability.
clean_na	a logical, TRUE (default) replaces NAs with zoo::na.locf(). If FALSE, NAs are not cleaned.

Value

a .csv-file within the directory, defined in dir.

antshi/ffData documentation built on June 13, 2025, 4:54 p.m.