rrz2016: Equity Premium and Short Interest Index (Rapach, Ringgenberg...

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Equity Premium and Short Interest Index (Rapach, Ringgenberg & Zhou, 2016)

Description

Monthly U.S. log excess return on the S&P 500 and the short interest index (SII) used in Rapach, Ringgenberg, and Zhou (2016), "Short interest and aggregate stock returns" (Journal of Financial Economics, 121, 46-65). Sample period 1973-01 to 2014-12.

Usage

rrz2016

Format

A data frame with 504 rows and 3 variables:

date

First-of-month Date.

r

Log excess return on the S&P 500: \log(1 + R_t) - \log(1 + rf_{t-1}).

SII

Short interest index, standardised linearly-detrended log EWSI.

Details

SII is constructed as standardised residuals from a linear regression of \log(\text{EWSI}_t) on a time trend, where \text{EWSI}_t is the equal-weighted mean across all firms of the number of shares held short normalised by shares outstanding.

Source

Replication archive of Rapach, Ringgenberg, and Zhou (2016): https://github.com/gabbocg/rrz2016.

References

Rapach, D. E., Ringgenberg, M. C. and Zhou, G. (2016). Short interest and aggregate stock returns. Journal of Financial Economics, 121(1), 46-65.

Examples

data(rrz2016)
head(rrz2016)
plot(rrz2016$date, rrz2016$SII, type = "l",
     xlab = NULL, ylab = "SII")

forecastdom documentation built on Nov. 2, 2026, 1:10 a.m.