ABCDEFGHIJKLMNOPQRSTUVWXYZ
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#NameDescriptionFrequencySampleBegSampleEndNotes
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1date
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2priceprice (index value)Monthly187101202512
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3d1212-month dividendsMonthly187101202512
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4e1212-month earningsMonthly187101202512
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5retreturn w/ dividends (CRSP calc)Monthly192601202512
CRSP's calculation of S&P500 return (incl. dividends)
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6retx
return w/o dividends (CRSP calc)
Monthly192601202512
CRSP's calculation of S&P500 return (excl. dividends)
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7AAAAAA bond yieldMonthly191901202512
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8BAABAA bond yieldMonthly187101202512
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9ltylong govt yieldMonthly187101202512
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10ltrlong govt returnMonthly192601202512
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11corprcorporate bond returnMonthly192601202512
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12tblt-billMonthly192001202512
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13Rfreeriskfree returnMonthly187102202512
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14d/pdividend price ratioMonthly187101202512= d12/price
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15d/ydividend yieldMonthly187101202512= d12/lag price
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16e/pearnings price ratioMonthly187101202512= e12/price
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17d/edividend payoutMonthly187101202512= d12/e12
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18b/mb/mMonthly192103202512
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19tmsterm spreadMonthly187101202512= lty - tbl
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20dfydefault yield spreadMonthly187101202512= BAA - AAA
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21dfrdefault return spreadMonthly187101202512= corpr - ltr
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22inflinflationMonthly191302202512
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23eqispct equity issuanceAnnual19272025
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24ntisnet equity issuanceMonthly192612202512
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25svar$\sigma^2$Monthly188502202512
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26caycnsm, wlth, incmQuarterly1952120244
Needs recomputation every period. Only full-sample version here.
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27i/kinvstmt/capitalQuarterly1947120254
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28cspcross-sectional premiumMonthly193705200212
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29pceconsumption/trendQuarterly1953420254
Needs recomputation every period. Only full-sample version here.
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30vpvariance premiumMonthly199001202112
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31impvarimplied $\sigma^2$Monthly199601202508
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32vrp$\sigma^2$ risk premiumMonthly199001202412
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33govikpublic sector investmtQuarterly1947120254
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34lzrt9 illiq measuresMonthly192601202512
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35skewskewnessSemiannual1951220192
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36crdstdcredit standardsQuarterly1990220254
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37ogapprdctn-output gapMonthly192601202512
Needs recomputation every period. Only full-sample version here.
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38wtexasoil price changesMonthly192601202512
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39accrulaccrualsAnnual19652025
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40cfaccaccruals (CFO)Annual19652025
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41sntmdistilled sentimentMonthly196507202311
PLS variable. Needs to be computed very period for the forecasting target, and for the frequency of forecast for OOS. Only the full-sample version for predicting monthly log excess returns here.
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42ndrblnew order-ship durablesMonthly195802202512
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43skvwavg stock skewnessMonthly192607202512
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44tailx-sect tail riskMonthly192607202512
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45fbmb/m x-sect factorMonthly192606202512
PLS variable. Needs to be computed very period for the forecasting target, and for the frequency of forecast for OOS. Only the full-sample version for predicting monthly log excess returns here.
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46dtoyto Dow 52-week highMonthly192601202512
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47dtoatto Dow all-time highMonthly192601202512
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48ygapstock-bond yield gapMonthly195304202512
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49rdspstock return dispersionMonthly192609202512
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50rsvixscaled risk-neutral vixMonthly199601202508
Comes in three varieties fore predicting monthly, quarterly, and annual forecasts. Only the version for predicting at monthly frequency here.
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51gpceyearend econ growthAnnual19472025
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52gipyearend econ growthAnnual19262025
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53tchi14 technical indicatorsMonthly195101202512
Needs recomputation every period. Only full-sample version here.
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54househousing/consumptionAnnual19292025
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55avgcoracvg corr stock returnsMonthly192603202412
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56shtintshort interestMonthly197301202512
Needs recomputation every period. Only full-sample version here.
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57disaganalyst disagreementMonthly198112202512
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