Fama-French 48-industry value-weighted portfolios from He, Huang, Li, Zhou (2023)

Monthly value-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.

Usage

he2023_ff48vw

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_ff48vw[, 1:5])
#>         date  Agric  Food  Soda  Beer
#> 1 1974-01-01   2.29  6.15 -5.40 -0.83
#> 2 1974-02-01  13.82  1.40 -2.36 -1.74
#> 3 1974-03-01  -1.57 -1.56 -4.06 -2.20
#> 4 1974-04-01  -9.26 -2.65 -4.15 -3.66
#> 5 1974-05-01  -7.03 -4.88 -1.15 -4.48
#> 6 1974-06-01 -11.85 -0.92  2.60 -3.24