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 |
|
Used in this book#
Long-Horizon Prediction with Persistent Signals — Forecasting Returns (Discussion)
Tail Risk and Short-Term Capital Management — Managed Funds (Discussion)
Files in this book#
crsp_market_data.xlsx