Changelog

You can find every single change in our commit history. We collect the most important changes for Tidy Finance with R in the list below.

• March 4, 2025, Commit 0b2680: we revised the introductory sections of Tidy Finance with R entirely and included new chapters on Financial Statement Analysis and Discount Cash Flow analysis.
• September 13, 2024, Commit 6464f94: we introduced the tidyfinance R package into the book. The package is available on CRAN.
• August 4, 2024, Commit 524bdd1: We added an additional filter to the Compustat download to exclude non-US companies in WRDS, CRSP, and Compustat.
• August 1, 2024, Commit 2980cf2: We updated the data until 2023-12-31 in all chapters.
• July 29, 2024, Commit cedec3e: We removed the month column from all chapters because it was misleading and consistently introduced date.
• July 16, 2024, Commit f4bbd00: We improved the documentation with respect to delisting returns in WRDS, CRSP, and Compustat.
• June 3, 2024, Commit 23d379f: We fixed a bug in Univaritate Portfolio Sorts, which led to wrong annual returns in Figure 3.
• May 15, 2024, Commit 2bb2e07: We added a new subsection about creating environment variables to Setting Up Your Environment.
• May 15, 2024, Commit adccfc9: We updated the filters in CRSP download, so that correct historical information is used and daily and monthly data are aligned.
• April 19, 2024, Commit d8c4de3: We updated to dbplyr version 2.5.0 and switched to the new I() instead of in_schema() syntax.
• March 4, 2024, Commit 6acb50b: We updated the download of monthly and daily CRSP data to the new official file format as distributed by WRDS, see additional information on the WRDS website.
• Feb 13, 2024, Commit 7871900: We updated the function for cleaning enhanced TRACE used in TRACE and FISD and shown in Appendix Clean Enhanced TRACE with R to reflect the correct time zone (i.e., New York, ET) and require less dependencies. We also updated the respective gist.
• Feb 13, 2024, Commit 5fce497: We removed the depedency on googledrive in Accessing and Managing Financial Data because frequently encountered failed downloads due to quota limits on the Google API.
• Jan 4, 2024, Commit e9ab1a3: We updated the syntax of *_join() functions to use join_by() instead of by.
• Dec 10, 2023, Commit 9814a2f: We added handling of delisting returns to daily CRSP download.
• Oct 14, 2023 Commit b5a7495: We changed the download of daily CRSP data from individual stocks to batches in WRDS, CRSP, and Compustat.
• Oct 12, 2023, Commit 48b6b29: We migrated from keras to torch in Option Pricing via Machine Learning for improved environment management.
• Oct 4, 2023, Commit d4e0717: We added a new chapter Setting Up Your Environment.
• Sep 28, 2023, Commit 290a612: We updated all data sources until 2022-12-31.
• Sep 23, 2023, Commit f88f6c9: We switched from alabama and quadprog to nloptr in Constrained Optimization and Backtesting to be more consistent with the optimization in Python and to provide more flexibility with respect to constraints.
• June 15, 2023, Commit 47dbb30: We moved the first usage of broom:tidy() from Fama-Macbeth Regressions to Univariate Portfolio Sorts to clean up the CAPM estimation.
• June 12, 2023, Commit e008622: We fixed some inconsencies in notation of portfolio weights. Now, we refer to portfolio weights with \(\omega\) throughout the complete book.
• June 12, 2023, Commit 186ec7b2: We fixed a typo in the discussion of the elastic net in Chapter Factor Selection via Machine Learning.
• May 23, 2023, Commit d5e355c: We update the workflow to collect() tables from tidy_finance.sqlite: To make variable selection more obvious, we now explicitly select() columns before collecting. As part of the pull request Commit 91d3077, we now select excess returns instead of net returns in the Chapter Fama-MacBeth Regressions.
• May 20, 2023, Commit be0f0b4: We include NA-observations in the Mergent filters in Chapter TRACE and FISD.
• May 17, 2023, Commit 2209bb1: We changed the assign_portfolio()-functions in Chapters Univariate Portfolio Sorts, Size Sorts and p-Hacking, Value and Bivariate Sorts, and Replicating Fama and French Factors. Additionally, we added a small explanation to potential issues with the function for clustered sorting variables in Chapter Univariate Portfolio Sorts.
• May 12, 2023, Commit 54b76d7: We removed magic numbers in Chapter Introduction to Tidy Finance and introduced the scales packages already in the introduction chapter to reduce scaling issues in figures.
• Mar. 30, 2023, Issue 29: We upgraded to tidyverse 2.0.0 and R 4.2.3 and removed all explicit loads of lubridate.
• Feb. 15, 2023, Commit bfda6af: We corrected an error in the calculation of the annualized average return volatility in the Chapter Introduction to Tidy Finance.
• Mar. 06, 2023, Commit 857f0f5: We corrected an error in the label of Figure 6 in Chapter Introduction to Tidy Finance, which wrongly claimed to show the efficient tangency portfolio.
• Mar. 09, 2023, Commit fae4ac3: We corrected a typo in the definition of the power utility function in Chapter Portfolio Performance. The utility function implemented in the code is now consistent with the text.