Fama-French 30-industry value-weighted portfolios from He, Huang, Li, Zhou (2023)

Monthly value-weighted returns on the 30 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.

Usage

he2023_ff30vw

Format

A data.frame with 528 rows and 31 variables:

date

First day of each month, class Date.

Food

Food products portfolio return (percent).

...

29 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_ff30vw[, 1:5])
#>         date  Food  Beer Smoke Games
#> 1 1974-01-01  1.83 -0.83  3.01  8.83
#> 2 1974-02-01  0.36 -1.74  1.85 -1.70
#> 3 1974-03-01 -2.39 -2.20 -6.00  4.55
#> 4 1974-04-01 -3.29 -3.66 -2.77 -7.68
#> 5 1974-05-01 -3.71 -4.48  5.59  1.06
#> 6 1974-06-01  0.04 -3.24 -0.50 -6.02