Download Open Source Asset Pricing (OpenAP) Data Directly

Convenient download functions enabling access Open Source Asset Pricing (OpenAP) data. This package enables users to download predictor portfolio returns (over 200 cross-sectional predictors with multiple portfolio construction methods) and firm characteristics (over 200 characteristics replicated from the academic asset pricing literature). Center for Research in Security Prices (CRSP)-based variables such as Price, Size, and Short-term Reversal can be downloaded with a Wharton Research Data Services (WRDS, < https://wrds-www.wharton.upenn.edu/>) subscription. For a full list of what is available, see < https://www.openassetpricing.com/>.

OpenSourceAP.DownloadR

OpenSourceAP_DownloadR is an R package that allows you to download data from Open Source Asset Pricing.

Installation

devtools::install_github("tomz23/OpenSourceAP.DownloadR")

Usage

Import package and open an instance to the data

library(OpenSourceAP.DownloadR)

openap <- OpenAP$new()

List available portfolios (various implementations)

openap$list_port()

Signal documentation

openap$dl_signal_doc()

Download portfolio returns

# download all original paper portfolios
openap$dl_port('op')

# download all decile-value-weighted portfolios
openap$dl_port('deciles_vw')

# Download portfolios for specific signals
openap$dl_port('op', 'AssetGrowth')

Download firm characteristics

To download all signals, you need a WRDS account.

openap$dl_all_signals()