he2023_dacheng202: Dacheng 202-portfolio value-weighted returns from He, Huang,...
In sdim: An R Package for Supervised Dimension Reduction

he2023_dacheng202

R Documentation

Dacheng 202-portfolio value-weighted returns from He, Huang, Li, Zhou (2023)

Description

Monthly value-weighted returns on 202 portfolios (from Dacheng Xiu's replication data) from the replication package of He, Huang, Li, Zhou (2023). Used as the target return matrix (target) in the RRA, PLS, and PCA estimators. Columns are named sequentially p001–p202.

Usage

he2023_dacheng202

Format

A data.frame with 552 rows and 203 variables:

date: First day of each month, class Date.
p001: Portfolio 1 return (percent).
p002: Portfolio 2 return (percent).
...: Portfolios p003 through p202 (percent).

Source

He, Huang, Li, Zhou (2023) replication package, \Sexpr[results=rd]{tools:::Rd_expr_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). \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1287/mnsc.2022.4563")}