June 2022 (Update)

The predict.csv file contains the data with the predictors and the measure of expected returns.

The dataset has 7 columns: date, dividend-price ratio, three-month T-bill, future aggregate equity excess returns, cay and the measure of excess (predicted) returns

Update Note

The expected risk premium is now available until 2017m12

March 2020 (Update)

The predict.csv file contains the data with the predictors and the measure of expected returns.

The dataset has 7 columns: date, dividend-price ratio, three-month T-bill, future aggregate equity excess returns, cay and the measure of excess (predicted) returns

Update note

• Update from Martin Lettau's website for cay.
• Update the msi file from wrds

August 2019 (update)

I have aligned cay dates to make sure they match with monthly data.

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The predict.csv file contains the data with the predictors and the measure of expected returns.

The dataset has 7 columns: date, dividend-price ratio, three-month T-bill, future aggregate equity excess returns, cay and the measure of excess (predicted) returns

June 2019 (first release)

The predict.csv file contains the data with the predictors and the measure of expected returns.

The dataset has 7 columns: date, dividend-price ratio, three-month T-bill, future aggregate equity excess returns, cay and the measure of excess (predicted) returns