Hi,
In my case the code seems to work, but it might be related to file permissions set in the temp folder you have..
I also can think of another way of doing all of it in the working directory
url <- paste0("http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Momentum_Factor_CSV.zip")
download.file(url, "myFile.zip", quiet=TRUE,mode="wb")
data <- data.table::fread(unzip(file.path("myFile.zip")),fill=TRUE,skip=13)
file.remove("myFile.zip")
Of course you can make it safer my checking if the file myFile.zip does not exist yet using the file.exists function
Hope this helps,
PJ