commit e07a3f23ec97a25267921261b5a656d8c039a803
parent e80c4554dcf97a8abcc1a6a4c3577f2c908dfd82
Author: Erik Loualiche <eloualic@umn.edu>
Date: Tue, 4 Jun 2019 12:22:44 -0400
readme includes links to the paper
Diffstat:
2 files changed, 20 insertions(+), 6 deletions(-)
diff --git a/readme.md b/readme.md
@@ -1,15 +1,22 @@
# Measuring the Risk Premium
+This code updates the measure of equity risk premium from the paper *Buyout Activity: the Impact of Aggregate Discount Rates* Valentin Haddad, Erik Loualiche & Matthew Plosser.
+We use the dividend-price ratio, cay and the three-month T-bill to predict future excess returns
+
+[Download the paper](http://loualiche.gitlab.io/www/abstract/LBO.html)
+[Download the data](https://github.com/eloualiche/RiskPremium/releases)
+
+
+## Data Sources
+
1. Measuring Dividend Price ratio uses CRSP Monthly Index files available on [WRDS](https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/stock_a/stkmktix.cfm)
- `msi.sas7bdat` downloaded from `/wrds/crsp/sasdata/a_stock/msi.sas7bdat`
- - See our [note](./doc/dividendpriceratio.pdf) on how to account for reinvested dividends
+ - See the calculations to account for reinvested dividends in this [note](./doc/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*
-## Download the data
-The list of current and older version of the data is available [here for download](https://github.com/eloualiche/RiskPremium/releases)
## Latest estimates
diff --git a/src/readme_in.md b/src/readme_in.md
@@ -1,15 +1,22 @@
# Measuring the Risk Premium
+This code updates the measure of equity risk premium from the paper *Buyout Activity: the Impact of Aggregate Discount Rates* Valentin Haddad, Erik Loualiche & Matthew Plosser.
+We use the dividend-price ratio, cay and the three-month T-bill to predict future excess returns
+
+[Download the paper](http://loualiche.gitlab.io/www/abstract/LBO.html)
+[Download the data](https://github.com/eloualiche/RiskPremium/releases)
+
+
+## Data Sources
+
1. Measuring Dividend Price ratio uses CRSP Monthly Index files available on [WRDS](https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/stock_a/stkmktix.cfm)
- `msi.sas7bdat` downloaded from `/wrds/crsp/sasdata/a_stock/msi.sas7bdat`
- - See our [note](./doc/dividendpriceratio.pdf) on how to account for reinvested dividends
+ - See the calculations to account for reinvested dividends in this [note](./doc/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*
-## Download the data
-The list of current and older version of the data is available [here for download](https://github.com/eloualiche/RiskPremium/releases)
## Latest estimates
