he2023_ff48vw: Fama-French 48-industry value-weighted portfolios from He,...
In sdim: An R Package for Supervised Dimension Reduction

he2023_ff48vw

R Documentation

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

Description

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, \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")}