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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-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 maintenanceThese binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.