Description Usage Format Author(s) Source References Examples
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.
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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
????
Steven E. Pav steven@gilgamath.com
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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