he2023_factors: Factor proxies from He, Huang, Li, Zhou (2023)
In sdim: An R Package for Supervised Dimension Reduction

he2023_factors

R Documentation

Factor proxies from He, Huang, Li, Zhou (2023)

Description

Monthly returns on 70 factor proxies from the replication package of He, Huang, Li, Zhou (2023): the five Fama-French factors (MKT, SMB, HML, RMW, CMA) plus 65 anomaly-based long-short portfolios. Used as factor proxies (X) in the RRA, PLS, and PCA estimators.

Usage

he2023_factors

Format

A data.frame with 516 rows and 71 variables:

date: First day of each month, class Date.
MKT: 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).
...: 65 additional anomaly-based long-short factors (percent).

Note

The sample period ends 2016-12-01, twelve months earlier than the portfolio datasets (he2023_ff48vw, etc., which end 2017-12-01). Align dates before passing he2023_factors as X and any portfolio dataset as target.

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")}