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This file contains the data used in "Production-Based measures of Risk for Asset Pricing", Journal of Monetary Economics
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Worksheet:
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Macro Data:
Contains the net output growth and net price growth rates in the durable and non-durable goods sectors.
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The macrodata come from the National Income Product Accounts (NIPA) available through the Bureau of Economic Analysis (BEA) website.
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Output in each industry is measured by the real gross domestic product (Table 1.2.3), lines 7 and 10).
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Price data in each industry is measured by the GDP price deflator (Table 1.2.4, lines 7, 10).
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Since GDP price data are only available after 1946, the final sales price deflator of durable goods and nondurable goods for the 1930 to 1946 period is used (Table 1.2.4, lines 8 and 11).
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Portfolio Data:
Contains the excess returns of 9 risk sorted portfolios.
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These portfolios are value-weighted and are formed based on the pre-ranking betas relative to the two pricing factors, in particular,
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the nondurable minus durable relative price growth beta and the nondurable minus durable relative output growth beta of each individual stock.
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(See online Appendix B for a detailes explanation of the construction of these portfolios)
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