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Changelog

Source: NEWS.md

tidyfinance (development version)

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

  • 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_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.

tidyfinance 0.8.0

CRAN release: 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 Lubos Pastor’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

CRAN release: 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

CRAN release: 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

CRAN release: 2026-05-12

New features

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

CRAN release: 2026-01-08

Bug fixes

  • Updated download of FRED data due to API changes.

tidyfinance 0.4.4

CRAN release: 2025-05-07

Bug fixes

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

tidyfinance 0.4.3.

CRAN release: 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

CRAN release: 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

CRAN release: 2024-09-04

Bug fixes

Improvements

tidyfinance 0.4.0

CRAN release: 2024-08-30

New features

Bug fixes

  • Retained explicit missing values in mktcap_lag in monthly CRSP.

Improvements

tidyfinance 0.3.0

CRAN release: 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

CRAN release: 2024-07-03

New features

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

CRAN release: 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

CRAN release: 2024-03-05

  • Initial CRAN submission.