Fama-French 17-industry value-weighted portfolios from He, Huang, Li, Zhou (2023)
Source:R/data.R
he2023_ff17vw.RdMonthly value-weighted returns on the 17 Fama-French industry portfolios from
the replication package of He, Huang, Li, Zhou (2023). Used as the target
return matrix (target) in the RRA, PLS, and PCA estimators.
Format
A data.frame with 528 rows and 18 variables:
- date
First day of each month, class
Date.- Food
Food products portfolio return (percent).
- ...
16 additional industry portfolio returns (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_ff17vw[, 1:5])
#> date Food Mines Oil Clths
#> 1 1974-01-01 1.50 5.12 -8.57 10.55
#> 2 1974-02-01 0.11 2.09 -1.28 0.99
#> 3 1974-03-01 -2.31 -4.41 -3.65 0.61
#> 4 1974-04-01 -3.43 -7.16 -6.76 -2.91
#> 5 1974-05-01 -3.94 -7.83 -7.57 -6.86
#> 6 1974-06-01 -0.47 0.59 0.11 -2.49