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 via WRDS
Years	1926-2026
Frequency	M
Vintage	Rolling — refreshed by re-running the builder
Rebuild	build_data/crsp_market/fetch_wrds.py build_data/crsp_market/build_workbook.mjs
Provenance	Legacy canonical values are preserved through 2024-12-31; monthly rows from 2025-01-31 through 2026-06-30 use CRSP CIZ via WRDS. The data source sheet records the CIZ boundary and overlap diagnostics.

Used in this book

• Long-Horizon Prediction with Persistent Signals — Forecasting Returns (Discussion)

• Market Timing — Forecasting Returns (Discussion)

• Tail Risk and Short-Term Capital Management — Managed Funds (Discussion)

Files in this book

• crsp_market_data.xlsx