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