| equal_weight_tensor {TensorPreAve} | R Documentation |
Equal weight Fama-French portfolio returns data.
Description
Equal weight Fama-French portfolio returns data formed on size and operating profitability of Chen and Lam (2023).
Format
A 576 × 10 × 10 'Tensor' object defined in package rTensor, where mode-1,2,3 correspond to time, OP levels and size levels, respectively.
Details
Stocks are categorized into 10 different sizes (market equity, using NYSE market equity deciles) and 10 different operating profitability (OP) levels (using NYSE OP deciles. OP is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end). The stocks in each of the 10 × 10 categories form a portfolio by equal weight. We use monthly data from July 1973 to June 2021, so that T = 576, and each data tensor we have thus has size 10 × 10 × 576. Since the market factor is certainly pervasive in financial returns, we use the CAPM to remove its effects and facilitate detection of potentially weaker factors.
References
Chen, W. and Lam, C. (2023). Rank and Factor Loadings Estimation in Time Series Tensor Factor Model by Pre-averaging. Manuscript.