Monthly returns on 70 factor proxies from the replication package of He,
Huang, Li, Zhou (2023): the five Fama-French factors (MKT, SMB, HML, RMW,
CMA) plus 65 anomaly-based long-short portfolios. Used as factor proxies
(X) in the RRA, PLS, and PCA estimators.
Format
A data.frame with 516 rows and 71 variables:
- date
First day of each month, class
Date.- MKT
Market excess return (percent).
- SMB
Small-minus-big size factor (percent).
- HML
High-minus-low value factor (percent).
- RMW
Robust-minus-weak profitability factor (percent).
- CMA
Conservative-minus-aggressive investment factor (percent).
- ...
65 additional anomaly-based long-short factors (percent).
Source
He, Huang, Li, Zhou (2023) replication package, https://pubsonline.informs.org/doi/10.1287/mnsc.2022.4563.
Note
The sample period ends 2016-12-01, twelve months earlier than the
portfolio datasets (he2023_ff48vw, etc., which end 2017-12-01).
Align dates before passing he2023_factors as X and any
portfolio dataset as target.
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_factors[, 1:5])
#> date MKT SMB HML RMW
#> 1 1974-01-01 -0.17 10.51 5.87 -2.98
#> 2 1974-02-01 -0.48 0.16 2.54 -1.96
#> 3 1974-03-01 -2.81 2.61 -0.12 2.96
#> 4 1974-04-01 -5.29 -0.61 1.01 2.80
#> 5 1974-05-01 -4.67 -3.21 -2.07 5.04
#> 6 1974-06-01 -2.83 0.00 0.76 0.66