commit c318f200b09f1f939a35ed744b3adb41168bff70
parent 4cbf5365743d5953354914b2b826f40129c2999e
Author: Erik Loualiche <eloualic@umn.edu>
Date: Tue, 4 Jun 2019 15:35:53 -0400
website
Diffstat:
9 files changed, 451 insertions(+), 81 deletions(-)
diff --git a/.gitignore b/.gitignore
@@ -3,10 +3,10 @@
## STANDARD EXCLUSIONS
archive
-doc/*.lyx
+docs/*.lyx
tmp
.Rhistory
# Specific files
-doc/dividendpriceratio.tex
+docs/dividendpriceratio.tex
input/msi.sas7bdat
\ No newline at end of file
diff --git a/Makefile b/Makefile
@@ -3,12 +3,14 @@
#
# Created on June 04th 2019
# Last modified on April 04th 2019
-# --------------------------------------------------------------------------------------------------------
+## --------------------------------------------------------------------------------------------------------
# --------------------------------------------------------------------------------------------------------
+## ALL
all: output/predict.csv readme.md
+##
## DOWNLOAD THE DATA FROM WRDS
input/msi.sas7bdat:
rsync -aPvzh --stats --human-readable XXXX@wrds-cloud.wharton.upenn.edu:/wrds/crsp/sasdata/a_stock/msi.sas7bdat ./input/
@@ -26,8 +28,9 @@ output/predict.csv: src/rp_measure.R tmp/predict.csv
readme.md: src/readme_in.md
cat src/readme_in.md tmp/reg_update.txt > readme.md
-
-# --------------------------------------------------------------------------------------------------------
+##
+## --------------------------------------------------------------------------------------------------------
+## help (this call)
.PHONY : help
help : Makefile
@sed -n 's/^##//p' $<
@@ -39,8 +42,8 @@ clean:
rm -rf ./log/*.log*
rm -rf ./tmp/*
-
-# --------------------------------------------------------------------------------------------------------
+##
+## --------------------------------------------------------------------------------------------------------
SHELL := /bin/bash
R_OPTS := --vanilla
# DATE := `date '+%Y-%m-%d %H:%M:%S'`
diff --git a/docs/css/style.css b/docs/css/style.css
@@ -0,0 +1,374 @@
+
+/*
+Design by Free CSS Templates
+http://www.freecsstemplates.org
+Released for free under a Creative Commons Attribution 2.5 License
+*/
+
+body {
+ margin: 0;
+ padding: 0;
+ background: #F7F7F7 url(images/img01.jpg) repeat-x left top;
+ font-family: Arial, Helvetica, sans-serif;
+ font-size: 12px;
+ color: #787878;
+}
+
+h1, h2, h3 {
+ margin: 0;
+ padding: 0;
+ font-weight: normal;
+ color: #000000;
+}
+
+h1 {
+ font-size: 2em;
+}
+
+h2 {
+ font-size: 2.4em;
+}
+
+h3 {
+ font-size: 1.6em;
+}
+
+p, ul, ol {
+ margin-top: 0;
+ line-height: 180%;
+}
+
+ul, ol {
+}
+
+a {
+ text-decoration: none;
+ color: #BC1B32;
+}
+
+a:hover {
+}
+
+#wrapper {
+ width: 960px;
+ margin: 0 auto;
+ padding: 0;
+}
+
+/* Header */
+
+#header {
+ width: 940px;
+ height: 102px;
+ margin: 0 auto;
+}
+
+/* Logo */
+
+#logo {
+ float: left;
+ margin: 0;
+ padding-top: 30px;
+ color: #000000;
+}
+
+#logo h1, #logo p {
+ margin: 0;
+ padding: 0;
+}
+
+#logo h1 {
+ float: left;
+ letter-spacing: -1px;
+ text-transform: lowercase;
+ font-size: 3.8em;
+}
+
+#logo p {
+ float: left;
+ margin: 0;
+ padding: 26px 0 0 10px;
+ font: normal 14px Georgia, "Times New Roman", Times, serif;
+ font-style: italic;
+}
+
+#logo a {
+ border: none;
+ background: none;
+ text-decoration: none;
+ color: #000000;
+}
+
+/* Search */
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+#search {
+ float: right;
+ width: 280px;
+ height: 60px;
+ padding: 20px 0px 0px 0px;
+ background: #E2E2E2;
+ border-bottom: 4px solid #FFFFFF;
+}
+
+#search form {
+ height: 41px;
+ margin: 0;
+ padding: 10px 0 0 20px;
+}
+
+#search fieldset {
+ margin: 0;
+ padding: 0;
+ border: none;
+}
+
+#search-text {
+ width: 170px;
+ padding: 6px 5px 2px 5px;
+ border: 1px solid #DEDEDE;
+ background: #FFFFFF;
+ text-transform: lowercase;
+ font: normal 11px Arial, Helvetica, sans-serif;
+ color: #5D781D;
+}
+
+#search-submit {
+ width: 50px;
+ height: 22px;
+ border: none;
+ background: #B9B9B9;
+ color: #000000;
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+
+/* Menu */
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+#menu {
+ width: 940px;
+ height: 36px;
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+#menu ul {
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+ line-height: normal;
+}
+
+#menu li {
+ float: left;
+}
+
+#menu a {
+ display: block;
+ width: 156px;
+ height: 28px;
+ background: #000000;
+ padding-top: 8px;
+ border-right: 1px solid #FFFFFF;
+ text-decoration: none;
+ text-align: center;
+ font-family: Arial, Helvetica, sans-serif;
+ font-size: 13px;
+ font-weight: bold;
+ color: #FFFFFF;
+ border: none;
+}
+
+#menu a:hover, #menu .current_page_item a {
+ background: #BC1B32;
+ text-decoration: none;
+}
+
+#menu .current_page_item a {
+ background: #BC1B32;
+ padding-left: 0;
+}
+
+/* Page */
+
+#page {
+ width: 1000px;
+ margin: 0 auto;
+ padding: 0;
+}
+
+#page-bgtop {
+ padding: 20px px;
+}
+
+#page-bgbtm {
+}
+
+/* Content */
+
+#content {
+ float: left;
+ width: 700px;
+ padding: 0;
+}
+
+.post {
+ margin-bottom: 15px;
+ border-bottom: 1px solid #E2E2E2;
+}
+
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+}
+
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+}
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+ margin-bottom: 10px;
+ padding: 12px 0 0 0px;
+ letter-spacing: -.5px;
+ color: #000000;
+}
+
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+ color: #000000;
+ border: none;
+}
+
+.post .meta {
+ width: 400px;
+ padding: 5px 20px 5px 10px;
+ background: #676767;
+ text-align: left;
+ font-family: Arial, Helvetica, sans-serif;
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+}
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+}
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+ font-size: 12px;
+ font-weight: bold;
+}
+
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+
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+ float: right;
+ width: 0px;
+ padding: 0px;
+ color: #787878;
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+}
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+}
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+ margin: 0;
+ padding: 0;
+ border-left: 1px solid #E2E2E2;
+}
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+ margin: 0px 0px;
+ padding-bottom: 30px;
+}
+
+#sidebar li li {
+ line-height: 35px;
+ border-bottom: 1px dashed #D1D1D1;
+ margin: 0px 30px;
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+ display: block;
+ margin-top: -20px;
+ padding: 0;
+ font-size: 11px;
+ font-style: italic;
+}
+
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+ height: 38px;
+ padding-left: 30px;
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+
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+ margin: 0 0px;
+ padding: 0px 30px 20px 30px;
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+ color: #BC1B32;
+}
+
+#sidebar a:hover {
+ text-decoration: underline;
+ color: #8A8A8A;
+}
+
+/* Calendar */
+
+#calendar {
+}
+
+#calendar_wrap {
+ padding: 20px;
+}
+
+#calendar table {
+ width: 100%;
+}
+
+#calendar tbody td {
+ text-align: center;
+}
+
+#calendar #next {
+ text-align: right;
+}
+
+/* Footer */
+
+#footer {
+ height: 50px;
+ margin: 0 auto;
+ padding: 0px 0 15px 0;
+ background: #ECECEC;
+ border-top: 1px solid #DEDEDE;
+ font-family: Arial, Helvetica, sans-serif;
+}
+
+#footer p {
+ margin: 0;
+ padding-top: 20px;
+ line-height: normal;
+ font-size: 9px;
+ text-transform: uppercase;
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+}+
\ No newline at end of file
diff --git a/doc/dividendpriceratio.pdf b/docs/dividendpriceratio.pdf
Binary files differ.
diff --git a/docs/index.html b/docs/index.html
@@ -0,0 +1,60 @@
+<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd">
+<html xmlns="http://www.w3.org/1999/xhtml"><head><!-- Design by Free CSS Templates http://www.freecsstemplates.org Released for free under a Creative Commons Attribution 2.5 License Name : Fireworks Description: A two-column, fixed-width design with dark color scheme. Version : 1.0 Released : 20090905 -->
+
+<meta name="keywords" content="economic, finance, asset pricing, entry, globalization, risk, buyout, private equity" />
+<meta name="description" content="Measuring the Risk Premium -- Haddad, Loualiche, Plosser" />
+<meta http-equiv="content-type" content="text/html; charset=utf-8" /><title>Measuring the Risk Premium -- Haddad, Loualiche, Plosser</title>
+
+<link href="css/style.css" rel="stylesheet" type="text/css" media="screen" />
+<link rel="shortcut icon" href="images/favicon.ico" />
+<!-- <link rel="shortcut icon" href="images/mit.ico" /> -->
+
+</head>
+
+
+
+
+
+
+<body>
+<div id="wrapper">
+<div id="header">
+<!-- <div id="logo"> -->
+</div>
+<div id="content" style="width: 705px"> <div/>
+<div class="post">
+</div>
+
+
+
+
+<!-- <H3>
+Erik Loualiche
+</H3> -->
+<!-- <IMG SRC="../output/predict.png"> -->
+ <img src = "./../output/predict.png" width = "705" height = "528" />
+ <!-- alt = "Picture of a happy monkey" /> -->
+
+
+<PRE>
+
+<HR> </HR>
+UPDATED DATA FOR
+
+<A HREF="https://loualiche.gitlab.io/www/abstract/LBO.html">Buyout Activity: the Impact of Aggregate Discount Rates</A>
+ (with Valentin Haddad and Matthew Plosser;
+ <i>Journal of Finance, February 2017, 72:1</i>
+
+<A HREF="./../output/predict.csv">Download the latest version of the data</A>
+
+<A HREF="https://github.com/eloualiche/RiskPremium/releases">Download older versions of the data</A>
+
+
+<HR> </HR>
+</PRE>
+
+</div>
+</body>
+</html>
+
+
diff --git a/log/R-session-info.log.R b/log/R-session-info.log.R
@@ -128,68 +128,3 @@
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)
-
-
-# -----
-# Session info for rp_measure.csv
-
- setting value
- version R version 3.5.1 (2018-07-02)
- system x86_64, darwin15.6.0
- ui X11
- language (EN)
- collate en_US.UTF-8
- tz America/New_York
- date 2019-06-04
-
- package * version date source
- assertthat 0.2.0 2017-04-11 CRAN (R 3.5.1)
- backports 1.1.2 2017-12-13 CRAN (R 3.5.1)
- base * 3.5.1 2018-08-05 local
- colorspace 1.3-2 2016-12-14 CRAN (R 3.5.1)
- compiler 3.5.1 2018-08-05 local
- crayon * 1.3.4 2019-05-19 Github (gaborcsardi/crayon@84be620)
- data.table * 1.12.3 2019-06-03 local
- datasets * 3.5.1 2018-08-05 local
- devtools * 1.13.6 2018-06-27 CRAN (R 3.5.1)
- digest 0.6.15 2018-01-28 CRAN (R 3.5.1)
- dplyr 0.8.0.9010 2019-03-31 Github (tidyverse/dplyr@6832c62)
- ggplot2 * 3.1.0.9000 2019-03-31 Github (tidyverse/ggplot2@230e8f7)
- glue 1.3.0 2018-07-17 CRAN (R 3.5.1)
- graphics * 3.5.1 2018-08-05 local
- 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 1.4.0.9002 2019-05-19 Github (r-lib/pillar@5ded57f)
- pkgconfig 2.0.2 2019-05-19 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 2019-05-19 Github (RcppCore/Rcpp@6062d56)
- rlang 0.3.4.9003 2019-05-19 Github (r-lib/rlang@6a232c0)
- sandwich * 2.4-0 2017-07-26 CRAN (R 3.5.1)
- scales 1.0.0.9000 2019-03-31 Github (r-lib/scales@c374014)
- 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 2.1.1.9000 2019-05-19 Github (tidyverse/tibble@71b8ff6)
- tidyr 0.8.3.9000 2019-05-19 Github (tidyverse/tidyr@b6ec78b)
- tidyselect 0.2.5.9000 2019-05-19 Github (tidyverse/tidyselect@19150c0)
- tools 3.5.1 2018-08-05 local
- utils * 3.5.1 2018-08-05 local
- vctrs 0.1.0.9003 2019-05-19 Github (r-lib/vctrs@b1e6b81)
- 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)
diff --git a/log/import_predictors.log.R b/log/import_predictors.log.R
@@ -48,7 +48,7 @@ Type 'q()' to quit R.
Log file for code executed at
> message(format(Sys.time(), "%a %b %d %X %Y"))
-Tue Jun 04 12:51:59 2019
+Tue Jun 04 15:34:39 2019
> ##################################################################################
>
>
@@ -237,4 +237,4 @@ Packages ----------------------------------------------------------------------
>
> proc.time()
user system elapsed
- 1.526 0.164 2.142
+ 1.595 0.245 2.532
diff --git a/log/rp_measure.log.R b/log/rp_measure.log.R
@@ -36,7 +36,7 @@ Type 'q()' to quit R.
Log file for code executed at
> message(format(Sys.time(), "%a %b %d %X %Y"))
-Tue Jun 04 14:33:17 2019
+Tue Jun 04 15:34:42 2019
> ##################################################################################
>
>
@@ -237,8 +237,6 @@ Notes: ***Significant at the 1 percent level.
>
> ##################################################################################
>
->
->
> proc.time()
user system elapsed
- 2.539 0.266 2.953
+ 2.823 0.230 3.229
diff --git a/src/rp_measure.R b/src/rp_measure.R
@@ -104,6 +104,4 @@ ggsave("./output/predict.png", p1, width = 8, height=6)
##################################################################################
-##################################################################################
-
-
+##################################################################################+
\ No newline at end of file
