Monthly Fama-French 5-factor returns plus momentum and liquidity, from the
replication package of He, Huang, Li, Zhou (2023). The risk-free rate
(RF) column is used in the replication scripts to convert gross
returns to excess returns.
Format
A data.frame with 652 rows and 9 variables:
- date
First day of each month, class
Date.- Mkt-RF
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).
- RF
Risk-free rate (percent).
- FFMOM
Fama-French momentum factor (percent).
- Pastor_Liq
Pastor-Stambaugh liquidity factor (percent).
Source
He, Huang, Li, Zhou (2023) replication package, https://pubsonline.informs.org/doi/10.1287/mnsc.2022.4563.
Note
Sample period is 1963-07-01 to 2017-10-01 (652 months). Row 127
corresponds to 1974-01-01, aligning with the start of
he2023_factors. To extract the matching RF series use
he2023_ff5$RF[127:642].
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_ff5)
#> date Mkt-RF SMB HML RMW CMA RF FFMOM Pastor_Liq
#> 1 1963-07-01 -0.39 -0.46 -0.81 0.72 -1.16 0.27 0.99 NA
#> 2 1963-08-01 5.07 -0.81 1.65 0.42 -0.40 0.25 1.08 NA
#> 3 1963-09-01 -1.57 -0.48 0.19 -0.80 0.23 0.27 0.13 NA
#> 4 1963-10-01 2.53 -1.29 -0.09 2.75 -2.26 0.29 3.14 NA
#> 5 1963-11-01 -0.85 -0.85 1.71 -0.34 2.22 0.27 -0.75 NA
#> 6 1963-12-01 1.83 -1.87 -0.10 0.18 -0.31 0.29 1.70 NA