finm.data.he_kelly_manela._pull

finm.data.he_kelly_manela._pull#

Pull functions for He-Kelly-Manela factor data.

Website: https://asaf.manela.org/papers/hkm/intermediarycapitalrisk/ Paper: https://doi.org/10.1016/j.jfineco.2017.08.002

Module Contents#

Functions#

pull_data

Download He-Kelly-Manela factors and test portfolios.

API#

finm.data.he_kelly_manela._pull.pull_data(data_dir: pathlib.Path | str, accept_license: bool = False) → None[source]#

Download He-Kelly-Manela factors and test portfolios.

Downloads a zip file containing the HKM factors and extracts it to the specified directory.

Website: https://asaf.manela.org/papers/hkm/intermediarycapitalrisk/

Parameters

data_dir : Path or str Directory to save extracted data. accept_license : bool, default False Must be set to True to acknowledge the data provider’s terms.

Returns

None

Raises

ValueError If accept_license is False.

Contents