NEWS

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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 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 (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.