this needs a test. caveat: you would need to write the DataReader test suite since one does not currently exist. i'm cleaning up data.py and i've added a bare bones test suite for DataReader, so i can merge this after the cleanup..or can merge this first and add to the new test suite...@jreback?

If you want to merge your test suite for DataReader, I can pull that and update it to include a test for the "ff"/"famafrench" option.

#4047 ... i'll wait till it passes then merge, then u should rebase and then we can merge your pr

also please add a blurb to release notes (they are in doc/source/release.rst) and copy it to doc/source/v0.12.0.txt maybe under the "Enhancement to existing features" heading(s)

I won't have time until next week to get more into this commit, but this should get us started.

I think it's good enough for this PR, and more advanced testing (i.e. value checking) should probably be another tracked issue.

I'm going to close this one for now, I'll reopen a PR with the changes after the dust settles on data.py. Cheers!