Missing Values Handling for Machine Learning Portfolios

Description

Documentation, code, and pseudo data for replicating Chen and McCoy (Forthcoming, Journal of Financial Economics, https://arxiv.org/pdf/2207.13071.pdf), to satisfy the journal's code and data sharing requirements. Instead of this packet, we recommend using the code posted on github (https://github.com/jack-mccoy/missing_data), which contains all previous versions of the code and allows for issue tracking (should it be needed). Code from either source automatically downloads 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/.

Categories

Licence