Pilates.jl Is a Library of Accounting Tools for EconomistS. Its purpose is to help data creation for Accounting, Finance, and Economic Research.
- WRDS datasets
- Compustat
- Fundamentals Annual (US)
- Fundamentals Quarterly (US)
- CRSP
- Compounded returns from daily stock prices
- Volatility of returns from daily stock prices
- Compustat
- Fred
- Any FRED series
Starts with WRDS Compustat fundamental annual data (replace [username] by your WRDS username).
julia> using Pilates
julia> wrdsuser = WRDS.WrdsUser("[username]")
julia> data = Compustat.get_fields(wrdsuser, [:cik, :fyear, :at], frequency="Annual")
880344×9 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik
│ Int32 Date String String String String Int32? Float32? Int32?
────────┼────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing
julia> Compustat.add_fields!(data, wrdsuser, [:lt], frequency="Annual")
880344×10 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik lt
│ Int32 Date String String String String Int32? Float32? Int32? Float32?
────────┼─────────────────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing missing
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing Add compounded daily returns starting one year before until three months before the field datadate.
julia> Crsp.add_permno!(wrdsuser, data, :gvkey)
880344×11 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik lt permno
│ Int32 Date String String String String Int32? Float32? Int32? Float32? Int32?
────────┼──────────────────────────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing missing missing
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing missing
julia> Crsp.compounded_return!(wrdsuser, data, :datadate, :comp_ret, Year(-1), Month(-3))
julia> data
880344×12 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik lt permno comp_ret
│ Int32 Date String String String String Int32? Float32? Int32? Float32? Int32? Float64?
────────┼──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing missing missing missing
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing missing missing Add volatility daily returns starting one year before until three months before the field datadate.
julia> Crsp.volatility_return!(wrdsuser, data, :datadate, :vol, Year(-1), Month(-3))
julia> data
880344×13 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik lt permno comp_ret vol
│ Int32 Date String String String String Int32? Float32? Int32? Float32? Int32? Missing Float32?
────────┼─────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing missing missing missing missing
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing missing missing missing Add Real Gross Domestic Product from FRED (series GDPC1)
julia> Fred.add_series!(data, "GDPC1" => :rgdp, :datadate)
julia> data
880344×14 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik lt permno comp_ret vol rgdp
│ Int32 Date String String String String Int32? Float32? Int32? Float32? Int32? Missing Float32? Float64?
────────┼───────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing missing missing missing missing 3440.92
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing missing missing missing 20182.5Add Real Personal Consumption Expenditure and Real Government Consumption Expenditures and Gross Investment from FRED (series PCE and GCEC1)
julia> Fred.add_series!(data, ["PCE" => :pce, "GCEC1" => :gce], :datadate)
julia> data
880344×16 DataFrame
Row │ gvkey datadate indfmt datafmt consol popsrc fyear at cik lt permno comp_ret vol rgdp pce gce
│ Int32 Date String String String String Int32? Float32? Int32? Float32? Int32? Missing Float32? Float64? Float64? Float64?
────────┼───────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
1 │ 1000 1961-12-31 INDL STD C D 1961 missing missing missing missing missing missing 3440.92 352.4 1176.74
⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮
880344 │ 353945 2022-12-31 INDL SUMM_STD C D 2022 981.551 1948862 missing missing missing missing 20182.5 17736.5 3442.47