he2023_ff5: Fama-French 5-factor data from He, Huang, Li, Zhou (2023)
In sdim: An R Package for Supervised Dimension Reduction

he2023_ff5

R Documentation

Fama-French 5-factor data from He, Huang, Li, Zhou (2023)

Description

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.

Usage

he2023_ff5

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).

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].

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")}