tidyfinance 0.5.0

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).

tidyfinance 0.4.5

Bug fixes

• Updated download of FRED data due to API changes.

tidyfinance 0.4.4

Bug fixes

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

tidyfinance 0.4.3.

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

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

• Initial CRAN submission.