nrtz2014: Equity Premium and Technical Indicators (Neely, Rapach, Tu, &...

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Equity Premium and Technical Indicators (Neely, Rapach, Tu, & Zhou, 2014)

Description

Monthly U.S. log equity premium (in percent) and the 14 binary technical-indicator predictors of Neely, Rapach, Tu, and Zhou (2014), "Forecasting the Equity Risk Premium: The Role of Technical Indicators." The macroeconomic predictors of the same paper are not included; for those, see rz2013.

Usage

nrtz2014

Format

A data frame with 733 rows and 16 variables. Sample period is 1950-12 to 2011-12 (monthly).

date

First-of-month Date.

eq_prem

Log equity premium, in percent: 100 \cdot [\log(1 + r_t) - \log(1 + rf_{t-1})].

MA_1_9, MA_1_12, MA_2_9, MA_2_12, MA_3_9, MA_3_12

Moving-average signals MA(s,l) for s \in \{1,2,3\}, l \in \{9,12\}.

MOM_9, MOM_12

Momentum signals MOM(m) for m \in \{9,12\}.

VOL_1_9, VOL_1_12, VOL_2_9, VOL_2_12, VOL_3_9, VOL_3_12

On-balance-volume signals VOL(s,l) for s \in \{1,2,3\}, l \in \{9,12\}.

Details

Indicators are constructed from monthly S&P 500 closing prices and trading volume (Goyal-Welch updated dataset) following the rules in the paper:

• MA(s,l) – 1 if the s-month moving average of the price exceeds the l-month moving average, else 0.

• MOM(m) – 1 if today's price is at or above the price m months ago, else 0.

• VOL(s,l) – 1 if the s-month moving average of on-balance volume exceeds the l-month moving average, else 0.

Source

Replication archive of Neely et al. (2014): https://github.com/gabbocg/nrtz2014. The underlying price and volume data are from Amit Goyal's website (https://sites.google.com/view/agoyal145).

References

Neely, C. J., Rapach, D. E., Tu, J., and Zhou, G. (2014). Forecasting the equity risk premium: The role of technical indicators. Management Science, 60(7), 1772-1791.

Examples

data(nrtz2014)
head(nrtz2014)
# Fraction of months each technical indicator equals 1
colMeans(nrtz2014[, -(1:2)])

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