Documentation for Stock_Returns_1931_2002
This file contains 2 monthly data series over the 1931:1-2002:12 sample period.
• ExReturn: Excess Returns
• ln_DivYield: 100×ln(dividend yield). (Multiplication by 100 means the changes are interpreted as percentage points).
The data were supplied by Professor Motohiro Yogo of the University of Pennsylvania and were used in his paper with John Campbell:
• “Efficient Tests of Stock Return Predictability,” Journal of Financial Economics, 2006.
(Double click in the window below to access the data)
Some Background
exreturn: is the excess return on a broad-based index of stock prices, called the CRSP value-weighted index, using monthly data from 1960:M1 to 2002:M12, where “M1” denotes the first month of the year (January), “M2” denotes the second month, and so forth.
• The monthly excess return is what you earn, in percentage terms, by purchasing a stock at the end of the previous month and selling it at the end of this month, minus what you would have earned had you purchased a safe asset (a U.S. Treasury bill). The return on the stock includes the capital gain (or loss) from the change in price plus any dividends you receive during the month.
Sample Solution