gw: Goyal Welch Equity Premium Data.

Description Usage Format Author(s) Source References Examples

Description

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.

Usage

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Format

An 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:

cpi

The Consumer price index

gold

The spot price of gold

infl

Inflation as a percent?

tbill

The Treasury bill rate?

ltyld10

???

ltrate

???

callmoney

????

aaa

????

baa

????

corprate

????

corprate.i

????

sp500index

The closing value of the S&P 500 index.

sp500d12

????

sp500e12

????

vwm

????

vwx

????

svar

????

bkmk

????

ntis

????

eqis

????

csp

????

cay

????

ik

????

Author(s)

Steven E. Pav [email protected]

Source

Ivo Welch's data page, http://www.ivo-welch.info/professional/goyal-welch/.

References

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

Examples

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shabbychef/aqfb_data documentation built on June 16, 2019, 1:07 a.m.