Missing Values Handling for Machine Learning Portfolios

Description

Documentation, code, and pseudo data for replicating Chen and McCoy (Forthcoming, Journal of Financial Economics), to satisfy JFE code sharing requirements. Instead of this packet, we recommend using the code posted on github (https://github.com/jack-mccoy/missing_data), which tracks all revisions to the code. Both versions of the code automatically download stock return data from WRDS and return predictors from https://sites.google.com/site/chenandrewy/, so the pseudo data is not really necessary. You can also find imputed predictor data at https://sites.google.com/site/chenandrewy/

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