NEWS
tidyfinance 0.4.1.9003
Improvements
- Updated
ccmxpf_linktable to the new WRDS default ccmxpf_lnkhist.
- Added support for "factors_q5_annual" in
download_factors_q()
tidyfinance 0.4.1 (2024-09-04)
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 (2024-08-30)
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 (2024-07-23)
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 (2024-07-03)
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 (2024-05-29)
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 (2024-03-05)