PCRA (version 1.2)

selectCRSPandSPGMI: Select and merge data from the stocksCRSP and factorsSPGMI data sets

Description

Select data from stocksCRSP and merge with factorsSPGMI for use in risk model estimation or returns analysis. This version of selectCRSPandSPGMI allows various options for subsetting. Users may specify a dateRange for the data as well as specifying specific lists of tickers, market capitalization groups, or sectors via the subsetType and subsetValues parameters. Additionally, for data.table output, users may select specific columns for each of stocksCRSP and factorsSPGMI to be included in the final output via the stockItems and factorItems parameters.

Usage

selectCRSPandSPGMI(
  periodicity = "monthly",
  dateRange = c("1993-01-31", "2015-12-31"),
  stockItems = c("Date", "TickerLast", "CapGroupLast", "Sector", "Return", "Ret13WkBill",
    "MktIndexCRSP"),
  factorItems = c("BP", "LogMktCap", "SEV"),
  subsetType = NULL,
  subsetValues = NULL,
  outputType = "xts"
)

Value

Either a multivariate xts object of returns, plus the risk-free rate ("Ret13WkBill") and market return ("MktIndexCRSP") values, or a data.table consisting of selected stocks and/or factor exposures data.

Arguments

periodicity

Character "monthly","weekly","daily". Currently only "monthly" is supported.

dateRange

A character vector providing a start data and an end date, having the same form as c("2006-01-31", "2010-12-31").

stockItems

A character vector that is a subset of the names of columns in the stocksCRSP data.table. Set to "NULL" when no data from this data set is desired in the final output.

factorItems

A character vector that is a subset of the names of columns in the factorsSPGMI data.table. Set to "NULL" when no data from this data set is desired in the final output.

subsetType

Character "TickerLast", "sector" or "CapGroupLast". Default NULL for no sub-setting.

subsetValues

Character vector containing either a list of TickerLast values, Sector values, or CapGroup values.

outputType

Character "xts" for a wide multivariate xts returns object, or a long format "data.table" object foranalysis and risk model estimation. Set to "xts" by default.

Details

Users select a periodicity for the data (stocksCRSP is available in daily, weekly, and monthly variants). When weekly or daily data are selected, the function re-samples the lower frequency factorsSPGMI data up to the chosen stocksCRSP frequency.

IMPORTANT: When using selectCRSPandSPGMI with periodicity = "weekly", you must first use the code line stocksCRSPweekly <- getPCRAData(data = "stocksCRSPweekly"), and for "daily" data use stocksCRSPdaily <- getPCRAData(data = "stocksCRSPdaily").

Users may select all columns from both data sets, a specified set of columns, or by setting either stockItems or factorItems to "NULL", may select only items from the other data set (that is, if only the stocksCRSP data is desired, set factorItems to NULL).

Users may select a specific range of dates ("dateRange") for the data.

Smaller sub-samples of the data (fewer rows) can be returned by selecting a specific Sectors, CapGroupLast (MicroCap, SmallCap, MidCap, LargeCap) of interest, or by specifying a list of TickerLast values for which data can be returned. This is accomplished via the subsetType and subsetValues parameters.

Examples

data.table::setDTthreads(1)
data(stocksCRSP)
return_data <- selectCRSPandSPGMI(periodicity  = "monthly",
                                    dateRange  = c("2006-01-31", "2006-07-31"),
                                    stockItems = c("Date", "TickerLast",
                                    "CapGroupLast", "Sector", "Return",
                                    "Ret13WkBill", "MktIndexCRSP"),
                                    factorItems  = NULL,
                                    subsetType   = NULL,
                                    subsetValues = NULL,
                                    outputType   = "xts")

length(unique(stocksCRSP$TickerLast)) 
dim(return_data) #includes all tickers plus risk free rate & market return columns

stocks_factors <- selectCRSPandSPGMI(periodicity = "monthly",
                                    dateRange    = c("2006-01-31", "2006-07-31"),
                                    stockItems   = c("Date", "TickerLast",
                                    "CapGroupLast", "Sector", "Return",
                                    "Ret13WkBill", "MktIndexCRSP"),
                                    factorItems  = c("BP", "LogMktCap", "SEV"),
                                    subsetType   = NULL,
                                    subsetValues = NULL,
                                    outputType   = "data.table")
names(stocks_factors)
str(stocks_factors)