# `crsp_market_data.xlsx`

Monthly CRSP value-weighted market and S&P 500 returns, risk-free rate, and dividend-price ratios for long-horizon forecasting.

| | |
|---|---|
| **Source** | **CRSP** — Center for Research in Security Prices (via WRDS) |
| **Years** | 1926-2024 |
| **Frequency** | M |
| **Vintage** | Rolling — refreshed by re-running the builder |
| **Rebuild** | `build_data/Build CRSP Market Data.ipynb` |

## Used in this book

- [Long-Horizon Prediction with Persistent Signals](../discussions/Long-Horizon%20Prediction%20with%20Persistent%20Signals.ipynb) — Forecasting Returns (Discussion)
- [Tail Risk and Short-Term Capital Management](../discussions/Tail%20Risk%20and%20Short-Term%20Capital%20Management.ipynb) — Managed Funds (Discussion)

## Files in this book

- `crsp_market_data.xlsx`