| Title: | Download Data from Kenneth French's Website |
|---|---|
| Description: | Downloads all the datasets (you can exclude the daily ones or specify a list of those you are targeting specifically) from Kenneth French's Website at <https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html>, process them and convert them to list of 'xts' (time series). |
| Authors: | Sebastian Stoeckl [aut, cre] (<https://orcid.org/0000-0002-4196-6093>, Package commissioner and maintainer.), Annar Massimov [ctb] (Original developer of FFdownload.) |
| Maintainer: | Sebastian Stoeckl <[email protected]> |
| License: | MIT + file LICENSE |
| Version: | 1.1.1 |
| Built: | 2024-11-15 05:39:29 UTC |
| Source: | https://github.com/sstoeckl/ffdownload |
converter read/clean/write
converter(file)converter(file)
file |
downloaded dataset |
list of annual/monthly/daily files
converter read/clean/write
converter_tbl(file)converter_tbl(file)
file |
downloaded dataset |
list of annual/monthly/daily files
FFdownload returns an RData file with all (possibility to exclude the large daily) datasets from Kenneth French's Website.
Should help researchers to work with the datasets and update the regularly. Allows for reproducible research. Be aware that processing
(especially when including daily files) takes quite a long time!
FFdownload( output_file = "data.Rdata", tempd = NULL, exclude_daily = FALSE, download = TRUE, download_only = FALSE, listsave = NULL, inputlist = NULL, format = "xts" )FFdownload( output_file = "data.Rdata", tempd = NULL, exclude_daily = FALSE, download = TRUE, download_only = FALSE, listsave = NULL, inputlist = NULL, format = "xts" )
output_file |
name of the .RData file to be saved (include path if necessary) |
tempd |
specify if you want to keep downloaded files somewhere save. Seems to be necessary for reproducible research as the files on the website do change from time to time |
exclude_daily |
excludes the daily datasets (are not downloaded) ==> speeds the process up considerably |
download |
set to TRUE if you actually want to download again. set to false and specify tempd to keep processing the already downloaded files |
download_only |
set to FALSE if you want to process all your downloaded files at once |
listsave |
if not NULL, the list of unzipped files is saved here (good for processing only a limited number of files through inputlist). Is written before inputlist is processed. |
inputlist |
if not NULL, FFdownload tries to match the names from the list with the list of zip-files |
format |
(set to xts) specify "xts" or "tbl"/"tibble" for the output format of the nested lists |
RData file
## Not run: tempf <- tempfile(fileext = ".RData"); outd <- paste0(tempdir(),"/",format(Sys.time(), "%F_%H-%M")) temptxt <- tempfile(fileext = ".txt") # Example 1: Use FFdownload to get a list of all monthly zip-files. Save that list as temptxt. FFdownload(exclude_daily=TRUE,download=FALSE,download_only=TRUE,listsave=temptxt) read.delim(temptxt,sep = ",") # set vector with only files to download (we try a fuzzyjoin, so "Momentum" should be enough to get # the Momentum Factor) inputlist <- c("Research_Data_Factors","Momentum_Factor","ST_Reversal_Factor","LT_Reversal_Factor") # Now process only these files if they can be matched (download only) FFdownload(exclude_daily=FALSE,tempd=outd,download=TRUE,download_only=FALSE, inputlist=inputlist,output_file = tempf) list.files(outd) # Then process all the downloaded files FFdownload(output_file = tempf, exclude_daily=TRUE,tempd=outd,download=FALSE, download_only=FALSE,inputlist=inputlist) load(tempf); FFdata$`x_F-F_Momentum_Factor`$monthly$Temp2[1:10] # Example 2: Download all non-daily files and process them # Commented out to not being tested # tempf2 <- tempfile(fileext = ".RData"); # outd2<- paste0(tempdir(),"/",format(Sys.time(), "%F_%H-%M")) # FFdownload(output_file = tempf2,tempd = outd2, exclude_daily = TRUE, download = TRUE, # download_only=FALSE, listsave=temptxt) # load(tempf2) # FFdownload$x_25_Portfolios_5x5$monthly$average_value_weighted_returns ## End(Not run)## Not run: tempf <- tempfile(fileext = ".RData"); outd <- paste0(tempdir(),"/",format(Sys.time(), "%F_%H-%M")) temptxt <- tempfile(fileext = ".txt") # Example 1: Use FFdownload to get a list of all monthly zip-files. Save that list as temptxt. FFdownload(exclude_daily=TRUE,download=FALSE,download_only=TRUE,listsave=temptxt) read.delim(temptxt,sep = ",") # set vector with only files to download (we try a fuzzyjoin, so "Momentum" should be enough to get # the Momentum Factor) inputlist <- c("Research_Data_Factors","Momentum_Factor","ST_Reversal_Factor","LT_Reversal_Factor") # Now process only these files if they can be matched (download only) FFdownload(exclude_daily=FALSE,tempd=outd,download=TRUE,download_only=FALSE, inputlist=inputlist,output_file = tempf) list.files(outd) # Then process all the downloaded files FFdownload(output_file = tempf, exclude_daily=TRUE,tempd=outd,download=FALSE, download_only=FALSE,inputlist=inputlist) load(tempf); FFdata$`x_F-F_Momentum_Factor`$monthly$Temp2[1:10] # Example 2: Download all non-daily files and process them # Commented out to not being tested # tempf2 <- tempfile(fileext = ".RData"); # outd2<- paste0(tempdir(),"/",format(Sys.time(), "%F_%H-%M")) # FFdownload(output_file = tempf2,tempd = outd2, exclude_daily = TRUE, download = TRUE, # download_only=FALSE, listsave=temptxt) # load(tempf2) # FFdownload$x_25_Portfolios_5x5$monthly$average_value_weighted_returns ## End(Not run)