tidyfinance 0.4.2
New features
- Added experimental
add_lag_columns()
function that is
more efficient than lag_column()
Bug fixes
download_macro_predictors()
,
download_factors()
, and download_osap()
now
fail gracefully with informative messages instead of errors or
warnings.
Improvements
- Updated
ccmxpf_linktable
to the new WRDS default
ccmxpf_lnkhist
.
- Added support for “factors_q5_annual” in
download_factors_q()
- Optimized
winsorize()
by reducing quantile
recalculations
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