The yearly excess returns of the Market, aligned with a number of lagging independent variables which have been posited to be predictive of the excess returns.
xts object with 215 observations and 23 columns.
The data are annual and span from 1802 through 2016.
As in the upstream source, the data are given in percents, meaning a
value of 1.00 corresponds to a 1% movement.
The columns are defined in the paper, but are roughly as follows:
The Consumer price index
The spot price of gold
Inflation as a percent?
The Treasury bill rate?
The closing value of the S&P 500 index.
Steven E. Pav [email protected]
Ivo Welch's data page, http://www.ivo-welch.info/professional/goyal-welch/.
Welch, Ivo and Goyal, Amit. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction." The Review of Financial Studies 21 , no. 4 (2007): 1455-1508. https://doi.org/10.1093/rfs/hhm014
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