download_data_wrds_crsp {tidyfinance}

Download Data from WRDS CRSP

Description

This function downloads and processes stock return data from the CRSP database for a specified period. Users can choose between monthly and daily data types. The function also adjusts returns for delisting and calculates market capitalization and excess returns over the risk-free rate.

Usage

download_data_wrds_crsp(
  type,
  start_date,
  end_date,
  batch_size = 500,
  version = "v2",
  ...
)

Arguments

type

A string specifying the type of CRSP data to download: "crsp_monthly" or "crsp_daily".

start_date

A Date object or string specifying the start date of the period for which data is requested.

end_date

A Date object or string specifying the end date of the period.

batch_size

An optional integer specifying the batch size for processing daily data, with a default of 500.

version

An optional character specifying which CRSP version to use. "v2" (the default) uses the updated second version of CRSP, and "v1" downloads the legacy version of CRSP.

...

Additional arguments to be passed to underlying functions.

Value

A data frame containing CRSP stock returns, adjusted for delistings, along with calculated market capitalization and excess returns over the risk-free rate. The structure of the returned data frame depends on the selected data type.

Examples

  crsp_monthly <- download_data_wrds_crsp("wrds_crsp_monthly", "2020-12-01", "2020-12-31")
  crsp_daily <- download_data_wrds_crsp("wrds_crsp_daily", "2020-12-01", "2020-12-31")