R/rz2013-data.R

In forecastdom: (Un)Conditional Forecast Dominance

#' Equity Premium and Macro Predictors (Rapach & Zhou, 2013)
#'
#' Monthly U.S. log equity premium and the 14 Goyal-Welch macroeconomic
#' predictors used in Rapach and Zhou (2013), "Forecasting Stock
#' Returns," Handbook of Economic Forecasting, Vol. 2A, Chapter 6.
#' Sourced from the replication archive at
#' \url{https://github.com/gabbocg/rz2013}.
#'
#' @format A data frame with 1,009 rows and 16 variables. Sample period
#' is 1926-12 to 2010-12 (monthly).
#' \describe{
#'   \item{date}{First-of-month \code{Date}.}
#'   \item{eq_prem}{Log equity premium: \eqn{\log(1+r_t) - \log(1+rf_{t-1})},
#'     where \eqn{r_t} is the CRSP value-weighted S&P 500 return.}
#'   \item{DP}{Log dividend-price ratio.}
#'   \item{DY}{Log dividend yield.}
#'   \item{EP}{Log earnings-price ratio.}
#'   \item{DE}{Log dividend-payout ratio.}
#'   \item{SVAR}{Stock variance: monthly sum of squared daily S&P 500 returns.}
#'   \item{BM}{DJIA book-to-market ratio.}
#'   \item{NTIS}{Net equity expansion.}
#'   \item{TBL}{3-month Treasury bill yield (decimal).}
#'   \item{LTY}{Long-term government bond yield (decimal).}
#'   \item{LTR}{Long-term government bond return (decimal).}
#'   \item{TMS}{Term spread: \code{LTY - TBL}.}
#'   \item{DFY}{Default yield spread: BAA minus AAA corporate yields.}
#'   \item{DFR}{Default return spread: long-term corporate minus government bond return.}
#'   \item{INFL_lag}{Inflation rate, lagged one month (decimal).}
#' }
#'
#' @source Replication archive of Rapach and Zhou (2013):
#'   \url{https://github.com/gabbocg/rz2013}. The underlying data are from
#'   Amit Goyal's website
#'   (\url{https://sites.google.com/view/agoyal145}).
#'
#' @references
#' Rapach, D. E. and Zhou, G. (2013). Forecasting stock returns. In
#' G. Elliott and A. Timmermann (Eds.), \emph{Handbook of Economic
#' Forecasting}, Vol. 2A, pp. 328-383. Elsevier.
#'
#' Goyal, A. and Welch, I. (2008). A comprehensive look at the empirical
#' performance of equity premium prediction.
#' \emph{Review of Financial Studies}, 21(4), 1455-1508.
#'
#' @examples
#' data(rz2013)
#' head(rz2013)
#' summary(rz2013$eq_prem)
"rz2013"