Item | Var | Frequency | Sample window |
Output (SALEQ) |
| Quarterly | 1962 Q1-2012 Q4 |
Capital (PPENTQ) |
| Quarterly | 1962 Q1-2012 Q4 |
Excess market index returns |
| Daily | 19270101-20121231 |
Small minus big size returns |
| Daily | 19270101-20121231 |
High minus low book-to-market returns |
| Daily | 19270101-20121231 |
10 prior-return portfolios |
| Daily | 19270101-20121231 |
12 industry portfolios |
| Daily | 19270101-20121231 |
One-month T-Bill rate |
| Daily | 19270101-20121231 |
Long term (10-year) gov’t bond |
| Monthly | 196201-201212 |
|
| Daily | 19620102-20121231 |
High grade corporate bond |
| Monthly | 196201-201212 |
|
| Daily | 19830103-20121231 |
Low grade corporate bond |
| Monthly | 196201-201212 |
|
| Daily | 19860102-20121231 |