NEWS

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tidyfinance 0.9.0.9008

Breaking changes

• The capped value-weighted returns of compute_portfolio_returns() and implement_portfolio_sort() (ret_excess_vw_capped) now cap market capitalization at the cap_weight percentile of NYSE stocks on each date, following Jensen, Kelly, and Pedersen (2023), instead of the percentile of all stocks. The new cap_weight_exchanges argument selects the exchanges; cap_weight_exchanges = NULL restores the previous behaviour. Without an exchange column, or on dates without NYSE stocks, the cap falls back to all stocks with a message (#319).
• In dependent bivariate sorts, breakpoints_min_size_threshold of the main breakpoints is now applied with one minimum market cap per date, computed from the full cross-section, instead of a separate one within each secondary portfolio. Before, e.g., excluding the smallest 20% of NYSE stocks from the asset-growth breakpoints within size halves excluded the smallest 20% of each half (#319).
• With annual rebalancing (rebalancing_month), implement_portfolio_sort() and filter_sorting_data() now apply the screens of filter_options() in the formation month only and keep every stock that passes them for the whole holding period (ex-ante screens). Before, the screens were applied in every month, so a stock that, e.g., fell below the price screen after formation lost its holding-month returns, which can bias factor returns. The previous behaviour is available with filter_options(timing = "every_period") and issues a warning. filter_sorting_data() gains a rebalancing_month argument (#321).
• The default price column of data_options() is now prc_lag, the nominal price at the end of the previous month, instead of prc_adj, which the default CRSP v2 download does not return, so the min_stock_price screen failed on downloaded data. download_data("WRDS", "crsp_monthly") (v1 and v2) and the pseudo CRSP data now return prc_lag (#321).

Bug fixes

• download_data_wrds_crsp() with version = "v2" (the default) now keeps the month and the day that carry a stock's delisting return (#320). CIZ includes the delisting return in mthret and dlyret, but stksecurityinfohist holds no active record after a stock's last trading day, so the common-stock filters were evaluated at month end (or on the delisting day) and dropped these observations. Their security information is now looked up on the last trading day (securityenddt). On CRSP data for 1960-2025, the fix restores 19,858 stock-months with an average return of -6.9%, and the share of delistings with a delisting return whose month is in the data rises from 13% to over 99%.
• ff_adjustment = TRUE in join_lagged_values() and add_lagged_columns() now implements the Fama and French (1993) timing: the value of a fiscal year ending in calendar year t is used from July of t + 1 through June of t + 2, for every fiscal year-end. Before, it kept the last observation per year and then applied the min_lag/max_lag window from the fiscal year-end, so a firm with a June fiscal year-end updated in January instead of July. The lag arguments are now optional and ignored with ff_adjustment = TRUE (#323).
• add_lagged_columns(ff_adjustment = TRUE) no longer fails when by is set.
• get_wrds_connection(), and thus every WRDS download, now explains a failed connection: it lists the likely causes (wrong credentials, missing two-factor authentication, terms of use not accepted) and keeps the original error as the cause (#325).
• estimate_fama_macbeth() with vcov = "iid" no longer multiplies the t-statistic by the square root of the number of periods a second time. The standard error of the mean already accounts for it, so the t-statistics were inflated by a factor of sqrt(T) (#322).
• download_data_osap() and download_data("Open Source Asset Pricing") no longer parse the HTML page that Google Drive returns instead of the data, e.g., when the download quota of the file is exceeded. They now return an empty tibble and say why, instead of a tibble whose column names are fragments of the page.
• download_data_osap() downloads the October 2025 release (v2.0.0) of the long-short returns by default instead of the August 2024 release (v1.4.0).

New features

• compute_portfolio_returns() and implement_portfolio_sort() gain holding_period and skip for staggered rebalancing (#324): portfolios are formed every period, each cohort is held for holding_period periods starting skip periods after formation, and a portfolio's return is the equal-weighted average of the overlapping cohorts held in a period, as in Jegadeesh and Titman (1993). Held stocks stay in their cohort for the whole holding period, and in implement_portfolio_sort() the screens of filter_options() only decide which stocks enter a new cohort. The vignette shows a six-month momentum strategy.
• WRDS downloads report their progress (#326). get_wrds_connection() says when it connects (with a reminder to approve the Duo request) and when the connection succeeds. CRSP monthly, Compustat, CCM links, FISD, and TRACE downloads show a step that ends with the elapsed time; daily CRSP keeps its batch progress bar. get_wrds_connection() and all download_data_wrds_*() functions gain quiet = FALSE to suppress these messages, which can also be passed through download_data(). download_data("Pseudo Data", ...) accepts quiet too and then omits its notice, so the same call works for both domains.
• The help pages of get_wrds_connection() and set_wrds_credentials(), the README, and the vignette document what a WRDS account needs before the first connection: two-factor authentication (Duo) and acceptance of the WRDS terms of use (#325).
• Added download_data_damodaran() and the "Damodaran" domain for download_data(), which download the cost of capital (WACC) by industry from Aswath Damodaran's data library, e.g. download_data("Damodaran", "wacc"). region selects the US (default), Europe, Japan, emerging markets, global, China, India, or Australia, New Zealand, and Canada, and year reads archived years (from 1998 for the US) into a panel. Reading the Excel files requires the suggested readxl package (#298).

tidyfinance 0.9.0 (2026-10-05)

Breaking changes

• download_factor_library_ids() and download_data("Tidy Finance", "factor_library") read the new layout of the factor library on Hugging Face, where the returns hold only id, date, and ret in files of 1,000 consecutive IDs named after their range. Only the files that hold the requested IDs are downloaded, and the file listing of the dataset is no longer queried. The result no longer has a ret_type column; the weighting scheme is in the weighting_scheme column of the grid. Earlier versions of the package cannot read the new layout.
• The factor library now builds on the signals of Open Source Asset Pricing, so sorting variables carry their names, e.g. "size" instead of "me" and "high52" instead of "52w". The examples and the documented grid values follow the new release, which adds the "1m" lag and "capped VW" weighting.

New features

• download_data_constituents() gains a path argument that reads an iShares or BlackRock holdings CSV saved from the fund's web page instead of downloading it, e.g. download_data("Index Constituents", path = "holdings.csv"). index is optional with path. Use it as a fallback when the provider moves its files (#311).
• Added download_data_fred_md() and the "FRED-MD" / "FRED-QD" datasets for download_data("FRED", ...), which download the McCracken and Ng (2016, 2021) curated monthly / quarterly macro panels as wide tables (one column per series). transform = TRUE applies each series' stationarity transform code (tcode). vintage selects the current release (default), a specific "YYYY-MM" release, or "all" - the full real-time panel across every archived vintage (recent vintages are hosted individually; older ones are read from the St. Louis Fed vintage archive ZIPs), enabling leak-free point-in-time analysis.

Bug fixes

• download_data_constituents() works again for DAX, EURO STOXX 50, Dow Jones Industrial Average, S&P 500, Nasdaq 100, FTSE 100, MSCI World, STOXX Europe 600, MDAX, TecDAX, MSCI Emerging Markets, and MSCI Europe. iShares removed the German retail pages the holdings files were downloaded from; they are now read from the Swiss professional pages. The header row of a holdings file is detected automatically instead of skipping a fixed number of rows, and a failed download now names the index and the URL and points to path (#311).
• download_factor_library_grid() caches the grid of the factor library for the rest of the session, so download_factor_library_ids() and download_data("Tidy Finance", "factor_library", ...) no longer download the grid of more than four million rows on every call (previously twice per download_data() call when filtering). Use refresh = TRUE to download it again.
• Passing a legacy identifier such as "factors_ff_3_monthly" as dataset now warns that this value is deprecated and names the dataset that replaces it, e.g. "Fama/French 3 Factors". The warning previously claimed that the type argument was used, although the caller never passed it.
• estimate_fama_macbeth() now orders the cross-sections chronologically before aggregating them over time. Newey-West standard errors depend on the order of the time series, so the same data in a different row order previously returned different standard errors and t-statistics while the risk premia were unchanged. Results for chronologically sorted input are unaffected (#302).
• The documentation of estimate_fama_macbeth(detail = TRUE) now lists the adj_r_squared column, which the function has always returned in summary_statistics alongside r_squared and n_obs.
• download_data_stock_prices() now derives dates from the exchange time zone reported by Yahoo Finance instead of converting the timestamps in UTC. Timestamps refer to the market open in local time, so for exchanges ahead of UTC (e.g. "^AXJO", "^NZ50") every observation was previously dated one calendar day too early and could fall on a weekend.
• download_data_stock_prices() now returns a range that is inclusive of both start_date and end_date for every exchange, matching the other download_data_*() functions. The range was previously delegated to Yahoo Finance's period1 / period2, which are resolved in the exchange's local time zone, so end_date was excluded for markets at or behind UTC but included for markets ahead of it.
• download_factor_library_grid(), and with it download_data("Tidy Finance", "factor_library"), now reads portfolio_sort_grid.parquet by name instead of every Parquet file listed in the grid repo, which also holds one slice of the grid per sorting variable and the list of sorting variables. Reading the listing failed as soon as the repo held more than one Parquet file.
• download_factor_library_ids(), and with it download_data("Tidy Finance", "factor_library"), no longer fails with "HTTP 404 Not Found" for IDs in a range of 1,000 IDs for which the factor library has no file because none of its portfolio sorts produced portfolios (e.g., IDs 833001 to 835000, which hold "rdcap" sorts with min_size_quantile = 0.2). Requested IDs without returns are absent from the result, as documented, and a warning now lists them; if none of the requested IDs has returns, the result is an empty tibble with all columns.

tidyfinance 0.8.0 (2026-07-02)

New features

• Added download_data_pastor_stambaugh() and the "Pastor-Stambaugh" domain for download_data(), which downloads the liquidity factors of Pastor and Stambaugh (2003) from Robert Stambaugh's data library. The result carries the levels of aggregate liquidity, the non-traded liquidity factor (innovations), and the traded liquidity factor LIQ_V.
• Added download_data_stambaugh_yuan() and the "Stambaugh-Yuan" domain for download_data(), which downloads the mispricing factors (mgmt and perf) of Stambaugh and Yuan (2017) from Robert Stambaugh's data library. The dataset argument selects between "monthly" and "daily" data. The source files currently end in December 2016.
• Added download_data_jkp() and the "Global Factor Data" domain for download_data(), which downloads data from Global Factor Data (Jensen, Kelly, and Pedersen, 2023). The dataset argument selects between factor returns ("factors"), the underlying long-short portfolios ("portfolios"), industry returns ("industry"), and the reference files "nyse_cutoffs" and "return_cutoffs". The requested selection is validated against the library's live availability manifest, and the helper list_supported_jkp_factors() lists the available regions and selectors.

Improvements

• The sorting_variable column of the factor_library_grid dataset no longer carries a "sv_" prefix, so its values now match the sorting_variable argument of download_data("Tidy Finance", "factor_library", ...) (e.g. "bm" rather than "sv_bm"). download_data("Tidy Finance", "factor_library_grid") returns the bare values accordingly (#284).
• Added a tidyfinance vignette that walks through the complete factor-construction workflow: download, signal construction, fiscal-year lagging, portfolio sorting, and a Fama-MacBeth test. It builds entirely on download_data(domain = "Pseudo Data"), so it compiles without a WRDS subscription or network access. knitr and rmarkdown are added back to Suggests, and VignetteBuilder: knitr is restored to DESCRIPTION.
• download_data("Open Source Asset Pricing") now aligns the date column to the beginning of the month (the dataset previously returned end-of-month dates), matching the convention used by the other download functions. All predictor columns are monthly long-short returns expressed in percent and are now divided by 100 to return plain numeric (decimal) returns.

Bug fixes

• download_data_huggingface("factor_library", ...) now treats an explicit n_portfolios_secondary = NULL as "remove the filter and return all values" (univariate and bivariate sorts alike), consistent with the documented behavior for every other column. Previously an explicit NULL was coerced to NA, restricting the result to univariate sorts.

tidyfinance 0.7.0 (2026-06-25)

Improvements

• estimate_betas() now uses a fast, vectorized closed-form approach based on rolling cumulants of the moment matrices instead of fitting one regression per stock and window. This removes the need for per-stock nesting and the optional furrr parallelization, so the use_furrr argument and the furrr dependency have been dropped. Estimates are numerically identical to the previous regression-based implementation. Windows with fewer than min_obs observations are now dropped from the output rather than returned with NA coefficients.
• The package website moved from package.tidy-finance.org to r.tidy-finance.org.
• download_data() now uses the human-readable domain names returned by list_supported_datasets() (e.g., "Fama-French", "Global Q", "WRDS", "Tidy Finance"). The "pseudo" and "tidyfinance" domains were renamed to "Pseudo Data" and "Tidy Finance". The previous machine-readable domain names (e.g., "famafrench", "wrds", "pseudo", "tidyfinance") are soft-deprecated but still accepted.
• download_data_wrds_crsp() now errors informatively when version = "v1" is used with an end_date later than December 2024, reflecting the discontinuation of the CRSP legacy version at the end of 2024.
• Removed the "experimental" lifecycle badge from assign_portfolio(), compute_breakpoints(), compute_rolling_value(), estimate_model(), and join_lagged_values(), which are now considered stable.

tidyfinance 0.6.0 (2026-05-31)

New features

• Added domain = "pseudo" to download_data() for generating pseudo data with the same schema as the corresponding real domain. Supported datasets in this release: "crsp_monthly", "crsp_daily", "compustat_annual", "compustat_quarterly", and "ccm_links" (all mirroring domain = "wrds"). Internally, every domain = "pseudo" call funnels through simulate_pseudo_data(), the unexported router that dispatches to per-dataset generators. Per-dataset entry points (download_data_pseudo_crsp(), download_data_pseudo_compustat(), download_data_pseudo_ccm_links()) remain exported for direct use. All generators accept n_assets and seed arguments; identical (seed, n_assets) yields the same identifier universe across datasets, so pseudo CRSP and Compustat join cleanly via add_ccm_links = TRUE or ccm_links. Daily CRSP is generated on weekdays only.
• Added download_factor_library_grid() to fetch the tidy-finance/factor-library-grid dataset from Hugging Face. Also accessible via download_data("tidyfinance", "factor_library_grid").

Improvements

• Added test-coverage.yaml workflow and badge to README.
• Added tests to get coverage to 100% (excl. set_wrds_credentials()).
• Fama-French factor data is now downloaded and parsed internally via httr2, so frenchdata is no longer declared in Imports. The behavior of download_data_factors_ff() is unchanged.
• download_data("tidyfinance", "factor_library", ...) now honors the canonical start_date and end_date arguments, filtering the returned portfolio returns to the requested range. When both are omitted, the full history is returned and the standard "Returning the full data set" message is emitted (via validate_dates()). Previously these arguments were accepted but silently ignored for the factor library.
• Removed the using-tidyfinance and dates-in-tidyfinance vignettes. Both predated the current download_data() interface and are superseded by the package manuscript. knitr and rmarkdown are no longer declared in Suggests, and VignetteBuilder has been dropped from DESCRIPTION.
• download_data("tidyfinance", "factor_library", ids = <vector>) now delegates directly to download_factor_library_ids(), bypassing the grid filter. Passing ids together with filter arguments raises an informative error.
• Renamed list_supported_types() to list_supported_datasets() (#242). The old name remains exported as a soft-deprecated alias that forwards to the new function. Internal helpers were renamed accordingly (e.g. list_supported_types_ff() -> list_supported_datasets_ff()).
• download_data_constituents() now drops symbols equal to "-".
• Renamed only_us parameter in download_data_wrds_compustat() to only_usd to reflect that the filter keeps USD-denominated shares only. The old name is deprecated and forwards to only_usd with a warning.
• Removed arrow, glue, and stringr dependencies and added nanoparquet.

tidyfinance 0.5.0 (2026-05-12)

New features

• Added implement_portfolio_sort() as a convenience wrapper that combines sample construction filtering and portfolio return computation into a single call.
• Added 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").
• Updated download_data_wrds_crsp() to use download_data_risk_free() (FRED-based) instead of the Kenneth French risk-free rate when computing excess returns.
• Added download_data_risk_free().
• Added only_us parameter to download_data_wrds_compustat().
• Added new parameters for common CRSP transformation tasks (add_ccm_links, adjust_volume) to download_data_wrds_crsp().
• Added prc_adj to "crsp_monthly" version "v1".
• Added adjust_volume parameter for "crsp_daily" version "v1" and "v2" to download_data_wrds_compustat().
• Added compute_rolling_value().
• Added output parameter to estimate_model() to also return t-stats or residuals.
• Added join_lagged_values().
• Added more indexes to list_supported_indexes().
• Added download_data_huggingface() and get_available_huggingface_files(). and support for type = "hf_high_frequency_sp500".
• Deprecated type parameter in favor of domain and dataset.
• Added detail parameter to estimate_fama_macbeth() to include average n_obs, r_squared, and adj_r_squared.
• Removed lower bound of excess returns in download_data_wrds_crsp().
• Removed add_lag_columns() in favor of add_lagged_columns().
• Added domain "tidyfinance" with datasets "high_frequency_sp500", "factor_library", and "risk_free".

Improvements

• Removed renv due to lack of benefits.
• Moved optional dependencies to imports for improved user experience (except for furrr).

Bug fixes

• Removed erroneous time zone adjustment in download_data_wrds_trace_enhanced() #133.
• Replaced tabs in 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).
• compute_long_short_returns() no longer errors with object 'top' not found when the input panel contains only one distinct portfolio (e.g., because assign_portfolio() collapsed to a single bucket on a constant sorting variable). The long-short return is now NA on such dates, consistent with "no investment, no return", instead of crashing.

tidyfinance 0.4.5 (2026-01-08)

Bug fixes

• Updated download of FRED data due to API changes.

tidyfinance 0.4.4 (2025-05-07)

Bug fixes

• Removed user agent sampling from download_stock_prices()because they were blocked.

tidyfinance 0.4.3 (2024-12-17)

Bug fixes

• 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.

Improvements

• Unified start_date and end_date validation across applications.
• Updated tests of download_*() functions to cover unavailable or broken resources.

tidyfinance 0.4.2 (2024-12-02)

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 (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)

• Initial CRAN submission.