Annual equity premium and predictor series built from Welch and
Goyal's original PredictorData.xls (annual sheet) — the
data vintage shipped with the published 2008 paper. The equity
premium is constructed as the log total return on the S&P 500
minus the log risk-free rate (per WG Section 1), and the log
dividend-price ratio is
\(\log(D12_{t-1}) - \log(\text{Index}_{t-1})\).
Format
A data frame with 134 rows and 13 columns covering 1872-2005:
- year
Calendar year.
- Index
S&P 500 price level.
- D12
Twelve-month moving sum of dividends.
- E12
Twelve-month moving sum of earnings.
- Rfree
Risk-free rate (decimal).
- tbl
Treasury-bill yield.
- infl
CPI inflation rate.
- ntis
Net equity expansion.
- spret
Total return on the S&P 500, \((P_t + D_t)/P_{t-1} - 1\).
- logeqp
Log equity premium, \(\log(1 + \text{spret}_t) - \log(1 + \text{Rfree}_t)\).
- log_dp_lag
Lagged log dividend-price ratio, \(\log(D12_{t-1}/\text{Index}_{t-1})\) — the predictor used in WG Table 1.
- log_ep_lag
Lagged log earnings-price ratio.
- log_de_lag
Lagged log dividend-payout ratio.
Source
Welch and Goyal (2008) original annual data file
PredictorData.xls, distributed with the paper. A
regularly updated version is maintained on Amit Goyal's
website, https://sites.google.com/view/agoyal145.