wg2008: Welch & Goyal (2008) Annual Equity-Premium Dataset
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wg2008 R Documentation
Welch & Goyal (2008) Annual Equity-Premium Dataset
Description
Annual equity premium and predictor series built from Welch and
Goyal's original PredictorData.xls (annual sheet) — the
data vintage shipped with the published 2008 paper. The equity
premium is constructed as the log total return on the S&P 500
minus the log risk-free rate (per WG Section 1), and the log
dividend-price ratio is
\log(D12_{t-1}) - \log(\text{Index}_{t-1}).
Usage
wg2008
Format
A data frame with 134 rows and 13 columns covering
1872-2005:
- year
Calendar year.
- Index
S&P 500 price level.
- D12
Twelve-month moving sum of dividends.
- E12
Twelve-month moving sum of earnings.
- Rfree
Risk-free rate (decimal).
- tbl
Treasury-bill yield.
- infl
CPI inflation rate.
- ntis
Net equity expansion.
- spret
Total return on the S&P 500,
(P_t + D_t)/P_{t-1} - 1.
- logeqp
Log equity premium,
\log(1 + \text{spret}_t) - \log(1 + \text{Rfree}_t).
- log_dp_lag
Lagged log dividend-price ratio,
\log(D12_{t-1}/\text{Index}_{t-1}) — the predictor used
in WG Table 1.
- log_ep_lag
Lagged log earnings-price ratio.
- log_de_lag
Lagged log dividend-payout ratio.
Source
Welch and Goyal (2008) original annual data file
PredictorData.xls, distributed with the paper. A
regularly updated version is maintained on Amit Goyal's
website, https://sites.google.com/view/agoyal145.
References
Welch, I. and Goyal, A. (2008). A comprehensive look at the
empirical performance of equity premium prediction. Review of
Financial Studies, 21(4), 1455-1508.
forecastdom documentation built on Nov. 2, 2026, 1:10 a.m.
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| wg2008 | R Documentation |
Welch & Goyal (2008) Annual Equity-Premium Dataset
Description
Annual equity premium and predictor series built from Welch and
Goyal's original PredictorData.xls (annual sheet) — the
data vintage shipped with the published 2008 paper. The equity
premium is constructed as the log total return on the S&P 500
minus the log risk-free rate (per WG Section 1), and the log
dividend-price ratio is
\log(D12_{t-1}) - \log(\text{Index}_{t-1}).
Usage
wg2008
Format
A data frame with 134 rows and 13 columns covering 1872-2005:
- year
Calendar year.
- Index
S&P 500 price level.
- D12
Twelve-month moving sum of dividends.
- E12
Twelve-month moving sum of earnings.
- Rfree
Risk-free rate (decimal).
- tbl
Treasury-bill yield.
- infl
CPI inflation rate.
- ntis
Net equity expansion.
- spret
Total return on the S&P 500,
(P_t + D_t)/P_{t-1} - 1.- logeqp
Log equity premium,
\log(1 + \text{spret}_t) - \log(1 + \text{Rfree}_t).- log_dp_lag
Lagged log dividend-price ratio,
\log(D12_{t-1}/\text{Index}_{t-1})— the predictor used in WG Table 1.- log_ep_lag
Lagged log earnings-price ratio.
- log_de_lag
Lagged log dividend-payout ratio.
Source
Welch and Goyal (2008) original annual data file
PredictorData.xls, distributed with the paper. A
regularly updated version is maintained on Amit Goyal's
website, https://sites.google.com/view/agoyal145.
References
Welch, I. and Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies, 21(4), 1455-1508.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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