implement_portfolio_sort() as a convenience
wrapper that combines sample construction filtering and portfolio return
computation into a single call.download_data_risk_free() to download and process
risk-free rate data from FRED, splicing TB3MS (pre-2001) with DTB4WK
(from 2001 onwards) for monthly data, and using DTB3 for daily data.
Also accessible via
download_data("tidyfinance", "risk_free").download_data_wrds_crsp() to use
download_data_risk_free() (FRED-based) instead of the
Kenneth French risk-free rate when computing excess returns.download_data_risk_free().only_us parameter to
download_data_wrds_compustat().add_ccm_links, adjust_volume) to
download_data_wrds_crsp().prc_adj to "crsp_monthly" version
"v1".adjust_volume parameter for
"crsp_daily" version "v1" and
"v2" to download_data_wrds_compustat().compute_rolling_value().output parameter to estimate_model()
to also return t-stats or residuals.join_lagged_values().list_supported_indexes().download_data_huggingface() and
get_available_huggingface_files(). and support for
type = "hf_high_frequency_sp500".type parameter in favor of
domain and dataset.detail parameter to
estimate_fama_macbeth() to include average
n_obs, r_squared, and
adj_r_squared.download_data_wrds_crsp().add_lag_columns() in favor of
add_lagged_columns()."tidyfinance" with datasets
"high_frequency_sp500", "factor_library", and
"risk_free".renv due to lack of benefits.furrr).download_data_wrds_trace_enhanced() #133.list_supported_types_ff() with
underscores #134.compute_portfolio_returns() and
implement_portfolio_sort() now apply
min_portfolio_size to the reported portfolio cross-section.
For bivariate sorts this is the firm count per
(main_portfolio, date) summed across secondary buckets, not
per (main, secondary, date) cell as before. Previously,
setting min_portfolio_size to the number of cells
(e.g. n_main * n_secondary) silently voided every cell.
Univariate behaviour is unchanged. The default has changed from
0L to 1L, so each reported portfolio is
required to have at least one observation by default; pass
min_portfolio_size = 0L to deactivate the check. The param
documentation has also been corrected to reflect that small portfolios
receive NA (not zero).download_stock_prices()because they were blocked.download_constituents() and
download_stock_prices() now also fail gracefully with
informative messages instead of errors or warnings.download_factors() returns empty data frame with
date column to ensure vignettes are built even if resources
are unavailable.start_date and end_date validation
across applications.download_*() functions to cover
unavailable or broken resources.add_lag_columns() function that is
more efficient than lag_column()download_macro_predictors(),
download_factors(), and download_osap() now
fail gracefully with informative messages instead of errors or
warnings.ccmxpf_linktable to the new WRDS default
ccmxpf_lnkhist.download_factors_q()winsorize() by reducing quantile
recalculationsdownload_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-tidyfinanceset_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 maintenance
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