{"repo":"eloualiche/RiskPremium","free":true,"listed":false,"github":"https://github.com/eloualiche/RiskPremium","clone":"git clone https://github.com/eloualiche/RiskPremium.git","description":"Measuring the Market Risk Premium","language":"Julia","stars":18,"topics":["finance","risk","risk-premium","stock-returns"],"license":null,"category":"trading","readme_excerpt":"Measuring the Market Risk Premium Last updated: March 2026 This code updates the measure of equity risk premium. I use the dividend-price ratio, cay and the three-month T-bill to predict future excess returns + Haddad Valentin, Erik Loualiche, and Matthew Plosser : Buyout Activity: the Impact of Aggregate Discount Rates ; Journal of Finance, February 2017, 72:1 + Download the paper + Download the data Releases For the exact replication of the published paper, use v1.0. That release uses the original R pipeline with Lettau's cay downloaded directly from his website (1952Q1–2019Q3). CRSP data through 2017Q4. Regression coefficients: D/P = 3.370, cay = 1.814, T-bill = −1.246, R² = 0.344 (264 obs). For updated estimates, use v2-202603. This release rewrites the pipeline in Julia and constructs cay from publicly available FRED data, removing the dependency on Lettau's website. CRSP data through 2024Q4. DOLS coefficients: β a = 0.195, β y = 0.863 (estimation sample: 1951Q4–2019Q3). Regression coefficients: D/P = 2.779, cay = 0.398, T-bill = −1.232, R² = 0.234 (285 obs). See the construction of cay section below for validation details. Future data updates follow the v2-YYYYMM convention. Data Sources 1. Dividend-price ratio from CRSP Monthly Stock Market Index ( crsp.msi ), available on WRDS - See the calculations to account for reinvested dividends in this note 2. Risk-free rate from the H15 release: 3-month T-bill ( TB3MS ) downloaded from FRED 3. cay (consumption-wealth ratio) co","default_branch":null,"files":null,"tree":[],"storefront":"/r/eloualiche","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/eloualiche/RiskPremium/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}