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Filter Sorting Data

Source: R/filter_sorting_data.R
filter_sorting_data.Rd

Applies sample construction filters to a data frame before portfolio sorting. Filters are applied in a fixed order: financials exclusion, utilities exclusion, minimum stock price, minimum size quantile, minimum listing age, positive book equity, and positive earnings. An informational message is emitted for each filter that actually removes at least one observation.

Usage

filter_sorting_data(
  data,
  filter_options = NULL,
  data_options = NULL,
  quiet = FALSE
)

Arguments

data

A data frame containing the stock-level panel data to be filtered.

filter_options

A list of class tidyfinance_filter_options created by filter_options(). If NULL (the default), the defaults from filter_options() are used (i.e., no filters are applied). The arguments accepted by filter_options() include

  • exclude_financials A logical indicating whether to exclude financial firms (SIC codes 6000–6799). Defaults to FALSE.

  • exclude_utilities A logical indicating whether to exclude utility firms (SIC codes 4900–4999). Defaults to FALSE.

  • min_stock_price A single positive numeric specifying the minimum stock price required to include an observation. NULL (the default) applies no price filter.

  • min_size_quantile A single numeric strictly between 0 and 1 specifying the minimum cross-sectional size quantile (based on lagged market cap) required to include an observation. NULL (the default) applies no size quantile filter. The cutoff is computed from NYSE stocks only; the exchange column (mapped via data_options()) must be present in the data or an error is raised.

  • min_listing_age A single non-negative integer or numeric specifying the minimum number of months a stock must have been listed in CRSP. NULL (the default) applies no listing age filter.

  • exclude_negative_book_equity A logical indicating whether to exclude observations with non-positive book equity. Defaults to FALSE.

  • exclude_negative_earnings A logical indicating whether to exclude observations with non-positive earnings. Defaults to FALSE.

data_options

A list of class tidyfinance_data_options (created via data_options()) specifying column name mappings. The siccd element is used to specify the SIC code column, price is used to specify the (adjusted) price column, mktcap_lag is used to specify the market capitalization column, date is used to specify the date column, listing_age is used to specify the listing age column, be is used to specify the book equity column, and earnings is used to specify the earnings column. Uses data_options() default if NULL: "siccd" = "siccd", "price" = "prc_adj", "exchange" = "exchange" "mktcap_lag" = "mktcap_lag", "date" = "date", "listing_age" = "listing_age", "be" = "be", and "earnings" = "ib".

quiet

A logical indicating whether informational messages should be suppressed. Defaults to FALSE.

Value

The filtered data frame, preserving the class and structure of the input.

See also

Other portfolio functions: assign_portfolio(), breakpoint_options(), compute_breakpoints(), compute_long_short_returns(), compute_portfolio_returns(), data_options(), filter_options(), implement_portfolio_sort(), portfolio_sort_options()

Examples

data <- data.frame(
  permno = 1:5,
  date = as.Date("2020-01-01"),
  siccd = c(6100, 2000, 4950, 3000, 6500),
  prc_adj = c(5, 0.5, 15, 20, 10)
)

data |>
  filter_sorting_data(
    filter_options = filter_options(
      exclude_financials = TRUE,
      min_stock_price = 1
    )
  )
#> Filter 'exclude_financials': removed 2 observations.
#> Filter 'min_stock_price': removed 1 observation.
#>   permno       date siccd prc_adj
#> 1      3 2020-01-01  4950      15
#> 2      4 2020-01-01  3000      20