Missing Values Handling for Machine Learning Portfolios

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/.

本数据集包含用于复现Chen与McCoy（即将发表于《金融经济学杂志》(Journal of Financial Economics)，原文链接：https://arxiv.org/pdf/2207.13071.pdf）研究的文档、代码与模拟数据，以满足该期刊对代码及数据共享的要求。相较于本数据包，我们推荐使用GitHub上发布的代码（https://github.com/jack-mccoy/missing_data），该代码仓库包含代码的所有历史版本并支持问题追踪（如有需要）。两个来源的代码均可自动从WRDS下载股票收益数据，并从https://sites.google.com/site/chenandrewy/下载收益预测因子数据，因此模拟数据实际上并非必需。用户还可在https://sites.google.com/site/chenandrewy/获取经插补处理的预测因子数据。