Replication Data: Missing Values Handling for Machine Learning Portfolios
Creators:
Andrew Chen , Jack McCoy
Publication Date:
20 February 2024
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Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "Missing Values Handling for Machine Learning Portfolios" (Chen & McCoy, 2024, Journal of Financial Economics). It includes stock return and firm characteristic data used to examine how different methods for handling missing values in financial datasets affect the performance of machine learning-based portfolio construction strategies, providing guidance on best practices for missing data imputation in empirical asset pricing research.
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