R/rrz2016-data.R

In forecastdom: (Un)Conditional Forecast Dominance

#' Equity Premium and Short Interest Index (Rapach, Ringgenberg & Zhou, 2016)
#'
#' 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.
#'
#' SII is constructed as standardised residuals from a linear regression
#' of \eqn{\log(\text{EWSI}_t)} on a time trend, where \eqn{\text{EWSI}_t}
#' is the equal-weighted mean across all firms of the number of shares
#' held short normalised by shares outstanding.
#'
#' @format A data frame with 504 rows and 3 variables:
#' \describe{
#'   \item{date}{First-of-month \code{Date}.}
#'   \item{r}{Log excess return on the S&P 500:
#'     \eqn{\log(1 + R_t) - \log(1 + rf_{t-1})}.}
#'   \item{SII}{Short interest index, standardised
#'     linearly-detrended log EWSI.}
#' }
#'
#' @source Replication archive of Rapach, Ringgenberg, and Zhou (2016):
#'   \url{https://github.com/gabbocg/rrz2016}.
#'
#' @references
#' Rapach, D. E., Ringgenberg, M. C. and Zhou, G. (2016). Short interest
#' and aggregate stock returns. \emph{Journal of Financial Economics},
#' 121(1), 46-65.
#'
#' @examples
#' data(rrz2016)
#' head(rrz2016)
#' plot(rrz2016$date, rrz2016$SII, type = "l",
#'      xlab = NULL, ylab = "SII")
"rrz2016"