Fama-French 48-industry equal-weighted portfolios from He, Huang, Li, Zhou (2023)
Source:R/data.R
he2023_ff48ew.RdMonthly equal-weighted returns on the 48 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 49 variables:
- date
First day of each month, class
Date.- Agric
Agriculture portfolio return (percent).
- Food
Food products portfolio return (percent).
- ...
46 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_ff48ew[, 1:5])
#> date Agric Food Soda Beer
#> 1 1974-01-01 14.42 13.65 15.17 11.52
#> 2 1974-02-01 7.20 4.65 -0.51 -0.95
#> 3 1974-03-01 -0.84 0.63 1.43 -0.53
#> 4 1974-04-01 -7.35 -4.21 -6.60 -5.97
#> 5 1974-05-01 -6.97 -5.95 -7.45 -5.07
#> 6 1974-06-01 -6.63 -1.83 -0.90 -4.15