commit 48a7572ef0f44f331c7b93926c7b05822fd2ef6d
parent cafb1aaf36fefe07113763dba8dfdf1476c12700
Author: Erik Loualiche <eloualic@umn.edu>
Date: Mon, 23 Mar 2020 09:04:18 -0400
🚀 RELEASE: update cay to 2019q3
Also add new index msi.csv
Predictor now goes to 2016q4
Diffstat:
13 files changed, 1048 insertions(+), 898 deletions(-)
diff --git a/Makefile b/Makefile
@@ -2,32 +2,43 @@
# Makefile for PREDICTING THE EQUITY RISK PREMIUM
#
# Created on June 04th 2019
-# Last modified on June 14th 2019
+# Last modified on March 23rd 2020
## --------------------------------------------------------------------------------------------------------
+
+## --------------------------------------------------------------------------------------------------------
+## LOAD A FEW OPTIONS
+-include ./rules.mk
+## --------------------------------------------------------------------------------------------------------
+
# --------------------------------------------------------------------------------------------------------
## ALL
all: output/predict.csv readme.md
##
## DOWNLOAD THE DATA FROM WRDS
+## Edit rules.mk to change your user name under WRDS_USERNAME
input/msi.sas7bdat:
- rsync -aPvzh --stats --human-readable XXXX@wrds-cloud.wharton.upenn.edu:/wrds/crsp/sasdata/a_stock/msi.sas7bdat ./input/
+ $(call colorecho,"Download stock market index from crsp ...")
+ rsync -aPvzh --stats --human-readable ${WRDS_USERNAME}@wrds-cloud.wharton.upenn.edu:/wrds/crsp/sasdata/a_stock/msi.sas7bdat ./input/
@echo
## GENERATE PREDICTORS
tmp/predict.csv: src/import_predictors.R input/cay_current.csv input/msi.sas7bdat
+ $(call colorecho,"Import and merge all return predictors ...")
R CMD BATCH $(R_OPTS) src/import_predictors.R log/import_predictors.log.R
@echo
## RUN REGRESSIONS
output/predict.csv: src/rp_measure.R tmp/predict.csv
+ $(call colorecho,"Estimate predictive regression ...")
R CMD BATCH $(R_OPTS) src/rp_measure.R log/rp_measure.log.R
@echo
## OUTPUT RESULTS
-readme.md: src/readme_in.md
+readme.md: src/readme_in.md output/predict.png tmp/reg_update.txt
+ $(call colorecho,"Update readme file ...")
cat src/readme_in.md tmp/reg_update.txt > readme.md
@echo
@@ -47,10 +58,6 @@ clean:
rm -rf readme.md
##
-## --------------------------------------------------------------------------------------------------------
-SHELL := /bin/bash
-R_OPTS := --vanilla
-# DATE := `date '+%Y-%m-%d %H:%M:%S'`
# --------------------------------------------------------------------------------------------------------
diff --git a/input/cay_current.csv b/input/cay_current.csv
@@ -1,265 +1,272 @@
-cay = c - 0.274092 a - 0.757866 y - 0.668337,,,,
-date,c (pce),a,y,cay
-195201,9.093943022,10.89614146,8.918819854,0.016465442
-195202,9.109441501,10.91332962,8.921109123,0.025517831
-195203,9.109911598,10.91016439,8.934989259,0.016336205
-195204,9.140163235,10.9044185,8.964998095,0.025420057
-195301,9.148163376,10.9046518,8.975451626,0.025433872
-195302,9.150421745,10.90494552,8.98510858,0.020293056
-195303,9.143581997,10.90331512,8.978187927,0.019145117
-195304,9.132202022,10.907309,8.966159289,0.015786553
-195401,9.131671469,10.91469342,8.956056168,0.020888805
-195402,9.140594975,10.93119337,8.955027313,0.026069547
-195403,9.149442411,10.95242406,8.958497606,0.026467811
-195404,9.165444913,10.95832073,8.977145303,0.026721624
-195501,9.183421078,10.96577967,8.985189913,0.036556615
-195502,9.198399462,10.98746022,9.006578672,0.029382724
-195503,9.206077973,11.0016164,9.022344419,0.021232813
-195504,9.213812065,11.00508517,9.032231011,0.020523432
-195601,9.211124499,11.02292656,9.039134587,0.007713701
-195602,9.210367791,11.02172803,9.046445912,0.001744495
-195603,9.207929696,11.01615645,9.045127353,0.001832813
-195604,9.216725697,11.02684477,9.057048929,-0.001335726
-195701,9.219311188,11.0207387,9.056424703,0.00339647
-195702,9.217018897,11.03509493,9.057792745,-0.003867536
-195703,9.220409587,11.01926643,9.056413137,0.00490717
-195704,9.216247359,11.01815791,9.047622236,0.007711104
-195801,9.198650421,11.02012461,9.025951142,0.005998902
-195802,9.203004305,11.03273056,9.028212681,0.005183657
-195803,9.214993784,11.05453525,9.050381576,-0.005604405
-195804,9.223772473,11.06531833,9.061566431,-0.008257894
-195901,9.237750549,11.06425802,9.068623771,0.000662285
-195902,9.24919894,11.07358769,9.081403293,-0.000131677
-195903,9.255385248,11.06791808,9.072734609,0.014178326
-195904,9.252060138,11.07410467,9.074606563,0.007738833
-196001,9.253608042,11.06805709,9.082157357,0.005221836
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-196101,9.246989913,11.09238214,9.078539145,-0.005321467
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diff --git a/log/R-session-info.log.R b/log/R-session-info.log.R
@@ -3,128 +3,150 @@
# -----
# Session info for import_predictors
+─ Session info ───────────────────────────────────────────────────────────────
setting value
- version R version 3.5.1 (2018-07-02)
+ version R version 3.6.2 (2019-12-12)
+ os macOS Mojave 10.14.6
system x86_64, darwin15.6.0
ui X11
language (EN)
collate en_US.UTF-8
- tz Europe/Paris
- date 2019-08-27
+ ctype en_US.UTF-8
+ tz America/New_York
+ date 2020-03-23
- package * version date source
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- withr 2.1.2 2018-03-15 CRAN (R 3.5.1)
- zeallot 0.1.0 2018-01-28 CRAN (R 3.5.1)
+─ Packages ───────────────────────────────────────────────────────────────────
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+ withr 2.1.2 2018-03-15 [1] CRAN (R 3.6.0)
+
+[1] /Library/Frameworks/R.framework/Versions/3.6/Resources/library
# -----
# Session info for rp_measure.csv
+─ Session info ───────────────────────────────────────────────────────────────
setting value
- version R version 3.5.1 (2018-07-02)
+ version R version 3.6.2 (2019-12-12)
+ os macOS Mojave 10.14.6
system x86_64, darwin15.6.0
ui X11
language (EN)
collate en_US.UTF-8
- tz Europe/Paris
- date 2019-08-27
+ ctype en_US.UTF-8
+ tz America/New_York
+ date 2020-03-23
+
+─ Packages ───────────────────────────────────────────────────────────────────
+ package * version date lib source
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- grDevices * 3.5.1 2018-08-05 local
- grid 3.5.1 2018-08-05 local
- gtable 0.2.0 2016-02-26 CRAN (R 3.5.1)
- lattice 0.20-35 2017-03-25 CRAN (R 3.5.1)
- lazyeval 0.2.1 2017-10-29 CRAN (R 3.5.1)
- lmtest * 0.9-36 2018-04-04 CRAN (R 3.5.1)
- lubridate * 1.7.4 2018-04-11 CRAN (R 3.5.1)
- magrittr 1.5 2014-11-22 CRAN (R 3.5.1)
- matrixStats 0.54.0 2018-07-23 CRAN (R 3.5.1)
- memoise 1.1.0 2017-04-21 CRAN (R 3.5.1)
- methods * 3.5.1 2018-08-05 local
- munsell 0.5.0 2018-06-12 CRAN (R 3.5.1)
- parallel 3.5.1 2018-08-05 local
- pillar 1.4.2.9000 2019-07-10 Github (r-lib/pillar@a6aa768)
- pkgconfig 2.0.2 2019-07-10 Github (r-lib/pkgconfig@5453f79)
- purrr 0.2.5 2018-05-29 CRAN (R 3.5.1)
- R6 2.2.2 2017-06-17 CRAN (R 3.5.0)
- Rcpp 1.0.1.3 2019-07-10 Github (RcppCore/Rcpp@d04eae8)
- rlang 0.4.0.9000 2019-07-10 Github (r-lib/rlang@a3d7e47)
- sandwich * 2.4-0 2017-07-26 CRAN (R 3.5.1)
- scales 1.0.0.9000 2019-07-10 Github (r-lib/scales@7f6f4a5)
- stargazer * 5.2.2 2018-05-30 CRAN (R 3.5.1)
- statar * 0.6.5 2017-07-06 CRAN (R 3.5.1)
- stats * 3.5.1 2018-08-05 local
- stringi 1.2.4 2018-07-20 CRAN (R 3.5.1)
- stringr * 1.3.1 2018-05-10 CRAN (R 3.5.1)
- tibble 2.1.3.9000 2019-07-10 Github (tidyverse/tibble@f0d0106)
- tidyr 0.8.3.9000 2019-05-19 Github (tidyverse/tidyr@b6ec78b)
- tidyselect 0.2.5.9000 2019-07-05 Github (tidyverse/tidyselect@013a51a)
- tools 3.5.1 2018-08-05 local
- utils * 3.5.1 2018-08-05 local
- vctrs 0.2.0.9000 2019-07-10 Github (r-lib/vctrs@9c5b2cc)
- wesanderson * 0.3.6 2018-04-20 CRAN (R 3.5.1)
- withr 2.1.2 2018-03-15 CRAN (R 3.5.1)
- zeallot 0.1.0 2018-01-28 CRAN (R 3.5.1)
- zoo * 1.8-3 2018-07-16 CRAN (R 3.5.1)
+[1] /Library/Frameworks/R.framework/Versions/3.6/Resources/library
diff --git a/log/import_predictors.log.R b/log/import_predictors.log.R
@@ -1,6 +1,6 @@
-R version 3.5.1 (2018-07-02) -- "Feather Spray"
-Copyright (C) 2018 The R Foundation for Statistical Computing
+R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night"
+Copyright (C) 2019 The R Foundation for Statistical Computing
Platform: x86_64-apple-darwin15.6.0 (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
@@ -48,18 +48,33 @@ Type 'q()' to quit R.
Log file for code executed at
> message(format(Sys.time(), "%a %b %d %X %Y"))
-Tue Aug 27 21:49:24 2019
+Mon Mar 23 08:59:59 2020
> ##################################################################################
>
>
> ##################################################################################
> # APPEND REQUIRED PACKAGES
-> library(crayon)
-> library(devtools)
>
-> library(alfred)
-> library(haven)
-> library(dplyr)
+> # See this https://stackoverflow.com/questions/4090169/elegant-way-to-check-for-missing-packages-and-install-them
+> using<-function(...) {
++ libs<-unlist(list(...))
++ req<-unlist(lapply(libs,require,character.only=TRUE))
++ need<-libs[req==FALSE]
++ if(length(need)>0){
++ install.packages(need)
++ lapply(need,require,character.only=TRUE)
++ }
++ }
+>
+> package_to_load <- c("crayon", "devtools", "alfred", "haven", "dplyr",
++ "stringr", "lubridate", "RcppRoll", "statar", "data.table")
+> using(package_to_load)
+Loading required package: crayon
+Loading required package: devtools
+Loading required package: usethis
+Loading required package: alfred
+Loading required package: haven
+Loading required package: dplyr
Attaching package: ‘dplyr’
@@ -71,8 +86,8 @@ The following objects are masked from ‘package:base’:
intersect, setdiff, setequal, union
-> library(stringr)
-> library(lubridate)
+Loading required package: stringr
+Loading required package: lubridate
Attaching package: ‘lubridate’
@@ -80,9 +95,9 @@ The following object is masked from ‘package:base’:
date
-> library(RcppRoll)
-> library(statar)
-> library(data.table)
+Loading required package: RcppRoll
+Loading required package: statar
+Loading required package: data.table
Attaching package: ‘data.table’
@@ -93,46 +108,57 @@ The following objects are masked from ‘package:lubridate’:
The following objects are masked from ‘package:dplyr’:
- between, coalesce, first, last
+ between, first, last
>
> check_file = file.exists("log/R-session-info.log.R")
> sink("log/R-session-info.log.R", append=check_file)
> cat(bold("\n\n# -----\n# Session info for import_predictors\n\n"))
> session_info()
-Session info ------------------------------------------------------------------
-Packages ----------------------------------------------------------------------
> sink()
> ##################################################################################
>
>
> ##################################################################################
> # 1. TREASURIES
-> dt_tbill <- get_fred_series("TB3MS", "rf", observation_start = "1950-01-01", observation_end = "2019-05-31") %>% data.table
+> dt_tbill <- get_fred_series("TB3MS", "rf", observation_start = "1950-01-01", observation_end = "2020-12-31") %>% data.table
> dt_tbill <- dt_tbill[, .(dateym=year(date)*100+month(date), rf=rf/100)]
+> dt_tbill[]
+ dateym rf
+ 1: 195001 0.0107
+ 2: 195002 0.0112
+ 3: 195003 0.0112
+ 4: 195004 0.0115
+ 5: 195005 0.0116
+ ---
+838: 201910 0.0165
+839: 201911 0.0154
+840: 201912 0.0154
+841: 202001 0.0152
+842: 202002 0.0152
> # fwrite(dt_tbill, "./input/tbill.csv")
> ##################################################################################
>
>
> ##################################################################################
> # 2. CAY
-> dt_cay <- fread("./input/cay_current.csv", skip=1, header=T)
-> dt_cay <- dt_cay[, .(date_y=as.integer(str_sub(date, 1, 4)),
-+ quarter=as.integer(str_sub(date, 5, 6)), cay=cay) ]
-> dt_cay <- dt_cay[, .(dateym=date_y*100+quarter*3, cay) ]
-> dt_cay
+> dt_cay <- fread("./input/cay_current.csv", skip=0, header=T)
+> setnames(dt_cay, c("date", "c", "w", "y", "cay"))
+> dt_cay <- dt_cay[, .(date_y=year(date), month = month(date), cay) ]
+> dt_cay <- dt_cay[, .(dateym=date_y*100+month, cay) ]
+> dt_cay[]
dateym cay
- 1: 195203 0.01646544
- 2: 195206 0.02551783
- 3: 195209 0.01633620
- 4: 195212 0.02542006
- 5: 195303 0.02543387
+ 1: 195203 0.01510493
+ 2: 195206 0.02483727
+ 3: 195209 0.01484008
+ 4: 195212 0.02216598
+ 5: 195303 0.02152118
---
-259: 201609 -0.02916950
-260: 201612 -0.02042846
-261: 201703 -0.02529660
-262: 201706 -0.02655350
-263: 201709 -0.02760623
+267: 201809 -0.02934508
+268: 201812 -0.02020734
+269: 201903 -0.04435449
+270: 201906 -0.03764155
+271: 201909 -0.03665922
> ##################################################################################
>
>
@@ -161,11 +187,11 @@ Packages ----------------------------------------------------------------------
4: 192603 NA
5: 192604 NA
---
-1113: 201808 0.02033382
-1114: 201809 0.02040150
-1115: 201810 0.02047582
-1116: 201811 0.02050859
-1117: 201812 0.02114445
+1125: 201908 0.02129861
+1126: 201909 0.02150184
+1127: 201910 0.02149657
+1128: 201911 0.02113526
+1129: 201912 0.02085788
> ##################################################################################
>
>
@@ -185,18 +211,18 @@ Packages ----------------------------------------------------------------------
>
> dt_rmrf <- dt_rmrf[, .(dateym, rmrf_y3) ]
> dt_rmrf[ !is.na(rmrf_y3) ]
- dateym rmrf_y3
- 1: 195001 0.19164596
- 2: 195002 0.18441326
- 3: 195003 0.17389623
- 4: 195004 0.14728401
- 5: 195005 0.13288460
- ---
-788: 201508 0.13987039
-789: 201509 0.15268617
-790: 201510 0.09634409
-791: 201511 0.10151984
-792: 201512 0.07465740
+ dateym rmrf_y3
+ 1: 195001 0.1916460
+ 2: 195002 0.1844133
+ 3: 195003 0.1738962
+ 4: 195004 0.1472840
+ 5: 195005 0.1328846
+ ---
+800: 201608 0.0992516
+801: 201609 0.1035328
+802: 201610 0.1184933
+803: 201611 0.1160087
+804: 201612 0.1191020
> ##################################################################################
>
>
@@ -209,17 +235,17 @@ Packages ----------------------------------------------------------------------
> dt_predict <- dt_predict[ !is.na(cay) ]
> dt_predict[]
dateym dp rf rmrf_y3 cay
- 1: 195203 0.05817138 0.0159 0.18092953 0.01646544
- 2: 195206 0.05739649 0.0170 0.21642173 0.02551783
- 3: 195209 0.05709103 0.0171 0.23193277 0.01633620
- 4: 195212 0.05522191 0.0209 0.22202729 0.02542006
- 5: 195303 0.05455042 0.0201 0.26058722 0.02543387
+ 1: 195203 0.05817138 0.0159 0.18092953 0.01510493
+ 2: 195206 0.05739649 0.0170 0.21642173 0.02483727
+ 3: 195209 0.05709103 0.0171 0.23193277 0.01484008
+ 4: 195212 0.05522191 0.0209 0.22202729 0.02216598
+ 5: 195303 0.05455042 0.0201 0.26058722 0.02152118
---
-252: 201412 0.02094913 0.0003 0.09787760 -0.02747550
-253: 201503 0.02111608 0.0003 0.08734601 -0.03462231
-254: 201506 0.02111542 0.0002 0.09928718 -0.03462943
-255: 201509 0.02153820 0.0002 0.15268617 -0.02656083
-256: 201512 0.02191271 0.0023 0.07465740 -0.03519129
+256: 201512 0.02191273 0.0023 0.07466284 -0.02350179
+257: 201603 0.02265601 0.0029 0.11699368 -0.02321807
+258: 201606 0.02307582 0.0027 0.11884748 -0.01823511
+259: 201609 0.02297658 0.0029 0.10353283 -0.01942223
+260: 201612 0.02284611 0.0051 0.11910203 -0.01902802
>
> fwrite(dt_predict, "./tmp/predict.csv")
> ##################################################################################
@@ -240,4 +266,4 @@ Packages ----------------------------------------------------------------------
>
> proc.time()
user system elapsed
- 1.400 0.153 2.169
+ 2.462 0.335 4.291
diff --git a/log/rp_measure.log.R b/log/rp_measure.log.R
@@ -1,6 +1,6 @@
-R version 3.5.1 (2018-07-02) -- "Feather Spray"
-Copyright (C) 2018 The R Foundation for Statistical Computing
+R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night"
+Copyright (C) 2019 The R Foundation for Statistical Computing
Platform: x86_64-apple-darwin15.6.0 (64-bit)
R is free software and comes with ABSOLUTELY NO WARRANTY.
@@ -36,16 +36,33 @@ Type 'q()' to quit R.
Log file for code executed at
> message(format(Sys.time(), "%a %b %d %X %Y"))
-Tue Aug 27 21:49:26 2019
+Mon Mar 23 09:00:04 2020
> ##################################################################################
>
>
> ##################################################################################
> # APPEND REQUIRED PACKAGES
-> library(crayon)
-> library(devtools)
-> library(wesanderson)
-> library(ggplot2)
+>
+> # See this https://stackoverflow.com/questions/4090169/elegant-way-to-check-for-missing-packages-and-install-them
+> using<-function(...) {
++ libs<-unlist(list(...))
++ req<-unlist(lapply(libs,require,character.only=TRUE))
++ need<-libs[req==FALSE]
++ if(length(need)>0){
++ install.packages(need)
++ lapply(need,require,character.only=TRUE)
++ }
++ }
+>
+> package_to_load <- c("crayon", "devtools", "wesanderson", "ggplot2", "statar",
++ "stringr", "lubridate", "lmtest", "sandwich", "stargazer", "data.table")
+>
+> using(package_to_load)
+Loading required package: crayon
+Loading required package: devtools
+Loading required package: usethis
+Loading required package: wesanderson
+Loading required package: ggplot2
Attaching package: ‘ggplot2’
@@ -53,9 +70,9 @@ The following object is masked from ‘package:crayon’:
%+%
-> library(statar)
-> library(stringr)
-> library(lubridate)
+Loading required package: statar
+Loading required package: stringr
+Loading required package: lubridate
Attaching package: ‘lubridate’
@@ -63,16 +80,7 @@ The following object is masked from ‘package:base’:
date
-> library(data.table)
-
-Attaching package: ‘data.table’
-
-The following objects are masked from ‘package:lubridate’:
-
- hour, isoweek, mday, minute, month, quarter, second, wday, week,
- yday, year
-
-> library(lmtest)
+Loading required package: lmtest
Loading required package: zoo
Attaching package: ‘zoo’
@@ -88,21 +96,29 @@ The following object is masked from ‘package:crayon’:
reset
-> library(sandwich)
-> library(stargazer)
+Loading required package: sandwich
+Loading required package: stargazer
Please cite as:
Hlavac, Marek (2018). stargazer: Well-Formatted Regression and Summary Statistics Tables.
R package version 5.2.2. https://CRAN.R-project.org/package=stargazer
+Loading required package: data.table
+
+Attaching package: ‘data.table’
+
+The following objects are masked from ‘package:lubridate’:
+
+ hour, isoweek, mday, minute, month, quarter, second, wday, week,
+ yday, year
+
+>
>
> check_file = file.exists("log/R-session-info.log.R")
> sink("log/R-session-info.log.R", append=check_file)
> cat(bold("\n\n# -----\n# Session info for rp_measure.csv\n\n"))
> session_info()
-Session info ------------------------------------------------------------------
-Packages ----------------------------------------------------------------------
> sink()
> ##################################################################################
>
@@ -129,24 +145,24 @@ Packages ----------------------------------------------------------------------
test test
(1) (2) (3) (4)
-------------------------------------------------------------------------------------------
-dp 2.976*** 2.976*** 2.833*** 2.833***
- (0.415) (1.016) (0.419) (1.081)
+dp 3.633*** 3.633*** 3.411*** 3.411***
+ (0.441) (1.075) (0.437) (1.133)
-cay 2.561*** 2.561*** 2.270*** 2.270***
- (0.242) (0.548) (0.233) (0.565)
+cay 2.156*** 2.156*** 1.873*** 1.873***
+ (0.261) (0.605) (0.250) (0.629)
-rf -0.861*** -0.861** -1.152*** -1.152***
- (0.166) (0.346) (0.156) (0.378)
+rf -0.938*** -0.938** -1.229*** -1.229***
+ (0.177) (0.364) (0.163) (0.381)
-Constant -0.001 -0.001 0.024* 0.024
- (0.014) (0.034) (0.013) (0.036)
+Constant -0.019 -0.019 0.008 0.008
+ (0.015) (0.037) (0.014) (0.037)
-------------------------------------------------------------------------------------------
-Observations 236 256
-R2 0.463 0.423
-Adjusted R2 0.456 0.416
-Residual Std. Error 0.069 (df = 232) 0.070 (df = 252)
-F Statistic 66.603*** (df = 3; 232) 61.652*** (df = 3; 252)
+Observations 236 260
+R2 0.384 0.351
+Adjusted R2 0.376 0.343
+Residual Std. Error 0.074 (df = 232) 0.074 (df = 256)
+F Statistic 48.180*** (df = 3; 232) 46.061*** (df = 3; 256)
===========================================================================================
Note: *p<0.1; **p<0.05; ***p<0.01
>
@@ -159,21 +175,21 @@ Note: *p<0.1; **p<0.05
===========================================================
Future Excess Returns
-----------------------------------------------------------
-D/P ratio 2.833***
- (0.419)
+D/P ratio 3.411***
+ (0.437)
-cay 2.270***
- (0.233)
+cay 1.873***
+ (0.250)
-T-bill (three-month) -1.152***
- (0.156)
+T-bill (three-month) -1.229***
+ (0.163)
-Constant 0.024*
- (0.013)
+Constant 0.008
+ (0.014)
-Observations 256
-R2 0.423
-F Statistic 61.652*** (df = 3; 252)
+Observations 260
+R2 0.351
+F Statistic 46.061*** (df = 3; 256)
-----------------------------------------------------------
Notes: ***Significant at the 1 percent level.
**Significant at the 5 percent level.
@@ -199,18 +215,18 @@ Notes: ***Significant at the 1 percent level.
+ date=as.Date(ISOdate(str_sub(dateym,1, 4), as.integer(str_sub(dateym, 5, 6)), 1)),
+ dp, cay, rf, rmrf_y3, exp_rmrf)]
> dt_plot[]
- date dp cay rf rmrf_y3 exp_rmrf
- 1: 1952-03-01 0.05817138 0.01646544 0.0159 0.18092953 0.207727996
- 2: 1952-06-01 0.05739649 0.02551783 0.0170 0.21642173 0.224814274
- 3: 1952-09-01 0.05709103 0.01633620 0.0171 0.23193277 0.202990900
- 4: 1952-12-01 0.05522191 0.02542006 0.0209 0.22202729 0.213936934
- 5: 1953-03-01 0.05455042 0.02543387 0.0201 0.26058722 0.212987813
- ---
-252: 2014-12-01 0.02094913 -0.02747550 0.0003 0.09787760 0.020501440
-253: 2015-03-01 0.02111608 -0.03462231 0.0003 0.08734601 0.004750878
-254: 2015-06-01 0.02111542 -0.03462943 0.0002 0.09928718 0.004848069
-255: 2015-09-01 0.02153820 -0.02656083 0.0002 0.15268617 0.024361936
-256: 2015-12-01 0.02191271 -0.03519129 0.0023 0.07465740 0.003411385
+ date dp cay rf rmrf_y3 exp_rmrf
+ 1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21561991
+ 2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22985471
+ 3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20996430
+ 4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21264141
+ 5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.21012652
+ ---
+256: 2015-12-01 0.02191273 -0.02350179 0.0023 0.07466284 0.03635076
+257: 2016-03-01 0.02265601 -0.02321807 0.0029 0.11699368 0.03867995
+258: 2016-06-01 0.02307582 -0.01823511 0.0027 0.11884748 0.04969115
+259: 2016-09-01 0.02297658 -0.01942223 0.0029 0.10353283 0.04688330
+260: 2016-12-01 0.02284611 -0.01902802 0.0051 0.11910203 0.04447305
>
>
> p0 <- dt_plot[, .(date, dp, cay, rf, rmrf_y3) ] %>%
@@ -240,4 +256,4 @@ Notes: ***Significant at the 1 percent level.
>
> proc.time()
user system elapsed
- 2.563 0.196 2.694
+ 3.096 0.328 4.087
diff --git a/output/msi.csv b/output/msi.csv
@@ -142,7 +142,7 @@ date,vwretd,vwretx
1937-08-31,-0.04836485,-0.05275796
1937-09-30,-0.1366226,-0.1412787
1937-10-30,-0.09579819,-0.09736761
-1937-11-30,-0.08305334,-0.09520221
+1937-11-30,-0.08305319,-0.09519979
1937-12-31,-0.04077352,-0.05000376
1938-01-31,0.00677615,0.005110966
1938-02-28,0.05801302,0.053921
@@ -440,8 +440,8 @@ date,vwretd,vwretx
1962-06-29,-0.08261504,-0.0843363
1962-07-31,0.06543834,0.06412908
1962-08-31,0.02341672,0.01788764
-1962-09-28,-0.05015597,-0.05178447
-1962-10-31,0.002183681,0.0004271689
+1962-09-28,-0.05015823,-0.05178678
+1962-10-31,0.002187336,0.0004307727
1962-11-30,0.1101368,0.1029244
1962-12-31,0.01186474,0.01005597
1963-01-31,0.05184811,0.05047498
@@ -598,7 +598,7 @@ date,vwretd,vwretx
1975-08-29,-0.02355747,-0.0289601
1975-09-30,-0.03800994,-0.04048618
1975-10-31,0.05585663,0.0532725
-1975-11-28,0.0312231,0.02580286
+1975-11-28,0.03122155,0.02580128
1975-12-31,-0.01099778,-0.01367704
1976-01-30,0.1260121,0.1243717
1976-02-27,0.007309568,0.002080979
@@ -608,10 +608,10 @@ date,vwretd,vwretx
1976-06-30,0.0445222,0.04216931
1976-07-30,-0.006135181,-0.007573178
1976-08-31,-0.001398304,-0.00738748
-1976-09-30,0.02451242,0.02238528
-1976-10-29,-0.02037325,-0.02225018
-1976-11-30,0.005360551,-0.001441307
-1976-12-31,0.06159296,0.05930214
+1976-09-30,0.02451245,0.02238531
+1976-10-29,-0.02037328,-0.02225022
+1976-11-30,0.005360569,-0.001441288
+1976-12-31,0.06159295,0.05930213
1977-01-31,-0.03632781,-0.03799669
1977-02-28,-0.01574357,-0.02176887
1977-03-31,-0.009248926,-0.01179684
@@ -876,21 +876,21 @@ date,vwretd,vwretx
1998-10-30,0.07439252,0.07337496
1998-11-30,0.0620232,0.06061488
1998-12-31,0.0630511,0.06172314
-1999-01-29,0.03845626,0.03765754
+1999-01-29,0.03845618,0.03765746
1999-02-26,-0.03808507,-0.03927058
1999-03-31,0.03793213,0.03665881
-1999-04-30,0.04910528,0.04828381
-1999-05-28,-0.02070659,-0.02238053
-1999-06-30,0.05082082,0.04972238
-1999-07-30,-0.03071601,-0.03159358
-1999-08-31,-0.009984309,-0.01114291
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2000-11-30,-0.1023722,-0.1035794
2000-12-29,0.02042246,0.01942778
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2001-04-30,0.08382919,0.08282384
2001-05-31,0.01045539,0.009069419
2001-06-29,-0.01755298,-0.01832802
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2007-09-28,0.04084195,0.03932541
2007-10-31,0.0257964,0.02465501
2007-11-30,-0.04932737,-0.05127594
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diff --git a/output/predict.csv b/output/predict.csv
@@ -1,257 +1,261 @@
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diff --git a/output/predict.png b/output/predict.png
Binary files differ.
diff --git a/readme.md b/readme.md
@@ -19,7 +19,7 @@ We use the dividend-price ratio, cay and the three-month T-bill to predict futur
- See the calculations to account for reinvested dividends in this [note](./docs/dividendpriceratio.pdf) on how
2. Measuring the risk-free rate from H15 release available on [FRED](https://fred.stlouisfed.org/series/TB3MS
)
-3. Measuring cay from Lettau's [website](http://faculty.haas.berkeley.edu/lettau/data_cay.html). *Last downloaded on May 29 2019*
+3. Measuring cay from Lettau's [website](http://faculty.haas.berkeley.edu/lettau/data_cay.html). *Last downloaded on March 23rd 2020*
@@ -30,21 +30,21 @@ We use the dividend-price ratio, cay and the three-month T-bill to predict futur
===========================================================
Future Excess Returns
-----------------------------------------------------------
-D/P ratio 2.833***
- (0.419)
+D/P ratio 3.411***
+ (0.437)
-cay 2.270***
- (0.233)
+cay 1.873***
+ (0.250)
-T-bill (three-month) -1.152***
- (0.156)
+T-bill (three-month) -1.229***
+ (0.163)
-Constant 0.024*
- (0.013)
+Constant 0.008
+ (0.014)
-Observations 256
-R2 0.423
-F Statistic 61.652*** (df = 3; 252)
+Observations 260
+R2 0.351
+F Statistic 46.061*** (df = 3; 256)
-----------------------------------------------------------
Notes: ***Significant at the 1 percent level.
**Significant at the 5 percent level.
diff --git a/rules.mk b/rules.mk
@@ -0,0 +1,45 @@
+#
+# RULES for MAKEFILE for the entry and asset pricing Project
+#
+#
+#
+# Created March 24th 2020
+# Last modified March 24th 2020
+#
+#
+# --------------------------------------------------------------------------------------------------------
+
+
+# --------------------------------------------------------------------------------------------------------
+ifndef RULES_MK
+RULES_MK:=1# Allow repeated "-include".
+
+
+# --------------------------------------------------------------------------------------------------------
+# HOMEMADE SCRIPTS
+define colorecho
+ @tput setaf 6
+ @echo $1
+ @tput sgr0
+endef
+WHITE='\033[1;37m'
+NC ='\033[0m' # No Color
+
+ # Timing: see here https://stackoverflow.com/questions/8483149/gnu-make-timing-a-build-is-it-possible-to-have-a-target-whose-recipe-executes
+ TIME_START := $(shell date +%s)
+ define TIME-END
+ @time_end=`date +%s` ; time_exec=`awk -v "TS=${TIME_START}" -v "TE=$$time_end" 'BEGIN{TD=TE-TS;printf "%02dm:%02ds\n", TD/(60),TD%60}'` ; echo -e \\t${WHITE}cumulative time elapsed ... $${time_exec} ... $@ ${NC}
+endef
+# --------------------------------------------------------------------------------------------------------
+
+
+# --------------------------------------------------------------------------------------------------------
+# This will depend on your configuration. Easiest is to symlin latest julia to /usr/bin/julia
+SHELL := /bin/bash
+WRDS_USERNAME := XXXX # adjust your WRDS username here
+R_OPTS := --vanilla
+# --------------------------------------------------------------------------------------------------------
+
+
+# --------------------------------------------------------------------------------------------------------
+endif+
\ No newline at end of file
diff --git a/src/import_predictors.R b/src/import_predictors.R
@@ -32,17 +32,21 @@ message(format(Sys.time(), "%a %b %d %X %Y"))
##################################################################################
# APPEND REQUIRED PACKAGES
-library(crayon)
-library(devtools)
-
-library(alfred)
-library(haven)
-library(dplyr)
-library(stringr)
-library(lubridate)
-library(RcppRoll)
-library(statar)
-library(data.table)
+
+# See this https://stackoverflow.com/questions/4090169/elegant-way-to-check-for-missing-packages-and-install-them
+using<-function(...) {
+ libs<-unlist(list(...))
+ req<-unlist(lapply(libs,require,character.only=TRUE))
+ need<-libs[req==FALSE]
+ if(length(need)>0){
+ install.packages(need)
+ lapply(need,require,character.only=TRUE)
+ }
+}
+
+package_to_load <- c("crayon", "devtools", "alfred", "haven", "dplyr",
+ "stringr", "lubridate", "RcppRoll", "statar", "data.table")
+using(package_to_load)
check_file = file.exists("log/R-session-info.log.R")
sink("log/R-session-info.log.R", append=check_file)
@@ -54,19 +58,20 @@ sink()
##################################################################################
# 1. TREASURIES
-dt_tbill <- get_fred_series("TB3MS", "rf", observation_start = "1950-01-01", observation_end = "2019-05-31") %>% data.table
+dt_tbill <- get_fred_series("TB3MS", "rf", observation_start = "1950-01-01", observation_end = "2020-12-31") %>% data.table
dt_tbill <- dt_tbill[, .(dateym=year(date)*100+month(date), rf=rf/100)]
+dt_tbill[]
# fwrite(dt_tbill, "./input/tbill.csv")
##################################################################################
##################################################################################
# 2. CAY
-dt_cay <- fread("./input/cay_current.csv", skip=1, header=T)
-dt_cay <- dt_cay[, .(date_y=as.integer(str_sub(date, 1, 4)),
- quarter=as.integer(str_sub(date, 5, 6)), cay=cay) ]
-dt_cay <- dt_cay[, .(dateym=date_y*100+quarter*3, cay) ]
-dt_cay
+dt_cay <- fread("./input/cay_current.csv", skip=0, header=T)
+setnames(dt_cay, c("date", "c", "w", "y", "cay"))
+dt_cay <- dt_cay[, .(date_y=year(date), month = month(date), cay) ]
+dt_cay <- dt_cay[, .(dateym=date_y*100+month, cay) ]
+dt_cay[]
##################################################################################
diff --git a/src/readme_in.md b/src/readme_in.md
@@ -19,7 +19,7 @@ We use the dividend-price ratio, cay and the three-month T-bill to predict futur
- See the calculations to account for reinvested dividends in this [note](./docs/dividendpriceratio.pdf) on how
2. Measuring the risk-free rate from H15 release available on [FRED](https://fred.stlouisfed.org/series/TB3MS
)
-3. Measuring cay from Lettau's [website](http://faculty.haas.berkeley.edu/lettau/data_cay.html). *Last downloaded on May 29 2019*
+3. Measuring cay from Lettau's [website](http://faculty.haas.berkeley.edu/lettau/data_cay.html). *Last downloaded on March 23rd 2020*
diff --git a/src/rp_measure.R b/src/rp_measure.R
@@ -20,17 +20,23 @@ message(format(Sys.time(), "%a %b %d %X %Y"))
##################################################################################
# APPEND REQUIRED PACKAGES
-library(crayon)
-library(devtools)
-library(wesanderson)
-library(ggplot2)
-library(statar)
-library(stringr)
-library(lubridate)
-library(data.table)
-library(lmtest)
-library(sandwich)
-library(stargazer)
+
+# See this https://stackoverflow.com/questions/4090169/elegant-way-to-check-for-missing-packages-and-install-them
+using<-function(...) {
+ libs<-unlist(list(...))
+ req<-unlist(lapply(libs,require,character.only=TRUE))
+ need<-libs[req==FALSE]
+ if(length(need)>0){
+ install.packages(need)
+ lapply(need,require,character.only=TRUE)
+ }
+}
+
+package_to_load <- c("crayon", "devtools", "wesanderson", "ggplot2", "statar",
+ "stringr", "lubridate", "lmtest", "sandwich", "stargazer", "data.table")
+
+using(package_to_load)
+
check_file = file.exists("log/R-session-info.log.R")
sink("log/R-session-info.log.R", append=check_file)
