Firm-Month Panel for Strategic-Metals Shock Pricing in U.S. Industrial Equities (2010–2025)

This dataset contains the final firm-month panel used in the empirical analysis of strategic-metals shock pricing in U.S. industrial equities. The panel covers monthly observations for S&P 500 Industrials firms over the period 2010–2025 and is constructed to support factor-based, distributional, and fixed-effects asset-pricing tests. The dataset includes firm-level excess returns, the Fama–French five equity factors, and a constructed strategic-metals shock factor derived from a tradable strategic-metals benchmark. The metals factor is orthogonalized to the Fama–French factor space to isolate metals-specific innovations and is designed to capture supply-chain and policy-driven risk rather than broad market comovement. A metals-volatility regime indicator is also included for state-dependent analysis. All variables are aligned to month-end dates and expressed in decimal form. The dataset is intended for replication, robustness checks, and methodological extensions related to factor pricing, quantile regressions, and exposure-based portfolio tests. Raw source data (e.g., benchmark prices and standard equity factors) are not redistributed; the dataset contains only processed and derived variables used directly in the estimations.