Downloads Datasets from Kenneth French's Website

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!

Usage

FFdownload(
  output_file = "data.Rdata",
  tempd = NULL,
  exclude_daily = FALSE,
  download = TRUE,
  download_only = FALSE,
  listsave = NULL,
  inputlist = NULL,
  format = "xts",
  na_values = NULL,
  return_data = FALSE,
  action = NULL,
  cache_days = Inf,
  match_threshold = 0.3
)

Arguments

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
na_values: numeric vector of sentinel values to replace with NA (e.g. c(-99, -999, -99.99)). French's files use -99.99 or -999 to denote missing observations. Default NULL preserves the original behaviour (no replacement).
return_data: logical. If TRUE, the FFdata list is returned invisibly in addition to being saved to output_file. Default FALSE preserves the original behaviour.
action: convenience alternative to the download/download_only flag pair. One of "all" (download + process), "list_only" (save file list only), "download_only" (download but do not process), or "process_only" (process already-downloaded files from tempd). When action is provided it overrides download and download_only. Default NULL retains the original flag-based behaviour.
cache_days: numeric. When greater than 0 and less than Inf, zip files already present in tempd that are younger than cache_days days are reused instead of being re-downloaded. Default Inf preserves the original behaviour (never re-download an existing file).
match_threshold: numeric in [0,1]. If the similarity between a requested inputlist entry and its fuzzy-matched filename is below this threshold a warning is emitted. Use FFmatch() to inspect matches before downloading. Default 0.3.

Value

Invisibly returns the FFdata list when return_data = TRUE; otherwise called for its side-effect of writing an RData file.

Examples

if (FALSE) { # \dontrun{
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: Use action parameter and return data directly

FFdata <- FFdownload(
  inputlist = c("F-F_Research_Data_5_Factors_2x3"),
  output_file = tempf,
  action = "all",
  na_values = c(-99, -999, -99.99),
  return_data = TRUE
)
FFdata$`x_F-F_Research_Data_5_Factors_2x3`$monthly$Temp2
} # }