Dacheng 202-portfolio value-weighted returns from He, Huang, Li, Zhou (2023)

Monthly value-weighted returns on 202 portfolios (from Dacheng Xiu's replication data) from the replication package of He, Huang, Li, Zhou (2023). Used as the target return matrix (target) in the RRA, PLS, and PCA estimators. Columns are named sequentially p001–p202.

Usage

he2023_dacheng202

Format

A data.frame with 552 rows and 203 variables:

date

First day of each month, class Date.

p001

Portfolio 1 return (percent).

p002

Portfolio 2 return (percent).

...

Portfolios p003 through p202 (percent).

Source

He, Huang, Li, Zhou (2023) replication package, https://pubsonline.informs.org/doi/10.1287/mnsc.2022.4563.

References

He, J., Huang, J., Li, F., and Zhou, G. (2023). Shrinking Factor Dimension: A Reduced-Rank Approach. Management Science, 69(9). doi:10.1287/mnsc.2022.4563

Examples

head(he2023_dacheng202[, 1:5])
#>         date    p001    p002    p003    p004
#> 1 1972-01-01 13.2243 13.3839 11.9412 10.7825
#> 2 1972-02-01  3.0288  5.4772  4.1469  4.2322
#> 3 1972-03-01  2.9574  0.1033 -1.7722 -1.6814
#> 4 1972-04-01 -1.2312  0.1863 -0.9854  1.2499
#> 5 1972-05-01 -1.5740 -1.9020 -4.1156 -2.2708
#> 6 1972-06-01 -4.2146 -4.6749 -3.0230 -3.3495