RiskPremium

Measuring the market risk premium
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readme_in.md (1162B)

      1 # Measuring the Market Risk Premium
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      3 ![](output/predict.png)
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      6 This code updates the measure of equity risk premium.
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      8 We use the dividend-price ratio, cay and the three-month T-bill to predict future excess returns
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     10 + *Haddad Valentin, Erik Loualiche, and Matthew Plosser*: **Buyout Activity: the Impact of Aggregate Discount Rates**;  Journal of Finance, February 2017, 72:1
     11 + [Download the paper](http://loualiche.gitlab.io/www/abstract/LBO.html)
     12 + [Download the data](https://github.com/eloualiche/RiskPremium/releases)
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     14 
     15 ## Data Sources
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     17 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)
     18    - `msi.sas7bdat` downloaded from `/wrds/crsp/sasdata/a_stock/msi.sas7bdat`
     19    - See the calculations to account for reinvested dividends in this [note](./docs/dividendpriceratio.pdf) on how 
     20 2. Measuring the risk-free rate from H15 release available on [FRED](https://fred.stlouisfed.org/series/TB3MS
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     22 3. Measuring cay from Lettau's [website](http://faculty.haas.berkeley.edu/lettau/data_cay.html). *Last downloaded on March 23rd 2020*
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     26 ## Latest estimates 
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