RiskPremium

Measuring the market risk premium
Log | Files | Refs

commit cc2c0dc2a9d8cb7a09bc997e03c814b42fda1e5f
parent 49b21534a47752b386cd6584e5eb8a5f9ac898eb
Author: erikloulou <[email protected]>
Date:   Mon,  6 Jun 2022 12:39:56 +0200

Update data to 201712

Diffstat:
Mlog/R-session-info.log.R | 273++++++++++++++++++++++++++++++++++++++++---------------------------------------
Mlog/import_predictors.log.R | 68++++++++++++++++++++++++++++++++++----------------------------------
Mlog/rp_measure.log.R | 84++++++++++++++++++++++++++++++++++++++++----------------------------------------
Moutput/msi.csv | 1371++++++++++++++++++++++++++++++++++++++++---------------------------------------
Moutput/predict.csv | 524++++++++++++++++++++++++++++++++++++++++---------------------------------------
Moutput/predict.png | 0
Mreadme.md | 20++++++++++----------
7 files changed, 1188 insertions(+), 1152 deletions(-)

diff --git a/log/R-session-info.log.R b/log/R-session-info.log.R @@ -4,149 +4,154 @@ # Session info for import_predictors ─ Session info ─────────────────────────────────────────────────────────────── - setting value - version R version 3.6.2 (2019-12-12) - os macOS Mojave 10.14.6 - system x86_64, darwin15.6.0 - ui X11 - language (EN) - collate en_US.UTF-8 - ctype en_US.UTF-8 - tz America/New_York - date 2020-03-23 + setting value + version R version 4.1.3 (2022-03-10) + os macOS Big Sur/Monterey 10.16 + system x86_64, darwin17.0 + ui X11 + language (EN) + collate en_US.UTF-8 + ctype en_US.UTF-8 + tz Europe/Budapest + date 2022-06-06 + pandoc 2.18 @ /usr/local/bin/pandoc ─ Packages ─────────────────────────────────────────────────────────────────── - package * version date lib source - alfred * 0.1.7 2019-04-01 [1] CRAN (R 3.6.0) - assertthat 0.2.1 2019-03-21 [1] CRAN (R 3.6.0) - backports 1.1.5 2019-10-02 [1] CRAN (R 3.6.0) - callr 3.4.2 2020-02-12 [1] CRAN (R 3.6.0) - cli 2.0.2 2020-02-28 [1] CRAN (R 3.6.0) - 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setting value - version R version 3.6.2 (2019-12-12) - os macOS Mojave 10.14.6 - system x86_64, darwin15.6.0 - ui X11 - language (EN) - collate en_US.UTF-8 - ctype en_US.UTF-8 - tz America/New_York - date 2020-03-23 + setting value + version R version 4.1.3 (2022-03-10) + os macOS Big Sur/Monterey 10.16 + system x86_64, darwin17.0 + ui X11 + language (EN) + collate en_US.UTF-8 + ctype en_US.UTF-8 + tz Europe/Budapest + date 2022-06-06 + pandoc 2.18 @ /usr/local/bin/pandoc ─ Packages ─────────────────────────────────────────────────────────────────── - package * version date lib source - assertthat 0.2.1 2019-03-21 [1] CRAN (R 3.6.0) - backports 1.1.5 2019-10-02 [1] CRAN (R 3.6.0) - callr 3.4.2 2020-02-12 [1] CRAN (R 3.6.0) - cli 2.0.2 2020-02-28 [1] CRAN (R 3.6.0) - colorspace 1.4-1 2019-03-18 [1] CRAN (R 3.6.0) - crayon * 1.3.4 2017-09-16 [1] CRAN (R 3.6.0) - data.table * 1.12.9 2020-02-25 [1] local - desc 1.2.0 2018-05-01 [1] CRAN (R 3.6.0) - devtools * 2.2.1 2019-09-24 [1] CRAN (R 3.6.0) - 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You are welcome to redistribute it under certain conditions. @@ -48,7 +48,7 @@ Type 'q()' to quit R. Log file for code executed at > message(format(Sys.time(), "%a %b %d %X %Y")) -Mon Mar 23 08:59:59 2020 +Mon Jun 06 12:38:01 2022 > ################################################################################## > > @@ -91,9 +91,9 @@ Loading required package: lubridate Attaching package: ‘lubridate’ -The following object is masked from ‘package:base’: +The following objects are masked from ‘package:base’: - date + date, intersect, setdiff, union Loading required package: RcppRoll Loading required package: statar @@ -131,11 +131,11 @@ The following objects are masked from ‘package:dplyr’: 4: 195004 0.0115 5: 195005 0.0116 --- -838: 201910 0.0165 -839: 201911 0.0154 -840: 201912 0.0154 -841: 202001 0.0152 -842: 202002 0.0152 +848: 202008 0.0010 +849: 202009 0.0011 +850: 202010 0.0010 +851: 202011 0.0009 +852: 202012 0.0009 > # fwrite(dt_tbill, "./input/tbill.csv") > ################################################################################## > @@ -187,11 +187,11 @@ The following objects are masked from ‘package:dplyr’: 4: 192603 NA 5: 192604 NA --- -1125: 201908 0.02129861 -1126: 201909 0.02150184 -1127: 201910 0.02149657 -1128: 201911 0.02113526 -1129: 201912 0.02085788 +1152: 202111 0.01475104 +1153: 202112 0.01473475 +1154: 202201 0.01454479 +1155: 202202 0.01458693 +1156: 202203 0.01466498 > ################################################################################## > > @@ -211,18 +211,18 @@ The following objects are masked from ‘package:dplyr’: > > dt_rmrf <- dt_rmrf[, .(dateym, rmrf_y3) ] > dt_rmrf[ !is.na(rmrf_y3) ] - dateym rmrf_y3 - 1: 195001 0.1916460 - 2: 195002 0.1844133 - 3: 195003 0.1738962 - 4: 195004 0.1472840 - 5: 195005 0.1328846 - --- -800: 201608 0.0992516 -801: 201609 0.1035328 -802: 201610 0.1184933 -803: 201611 0.1160087 -804: 201612 0.1191020 + dateym rmrf_y3 + 1: 195001 0.19164596 + 2: 195002 0.18441326 + 3: 195003 0.17389623 + 4: 195004 0.14728401 + 5: 195005 0.13288460 + --- +812: 201708 0.10990858 +813: 201709 0.08875791 +814: 201710 0.07444771 +815: 201711 0.10732976 +816: 201712 0.12023222 > ################################################################################## > > @@ -241,11 +241,11 @@ The following objects are masked from ‘package:dplyr’: 4: 195212 0.05522191 0.0209 0.22202729 0.02216598 5: 195303 0.05455042 0.0201 0.26058722 0.02152118 --- -256: 201512 0.02191273 0.0023 0.07466284 -0.02350179 -257: 201603 0.02265601 0.0029 0.11699368 -0.02321807 -258: 201606 0.02307582 0.0027 0.11884748 -0.01823511 -259: 201609 0.02297658 0.0029 0.10353283 -0.01942223 -260: 201612 0.02284611 0.0051 0.11910203 -0.01902802 +260: 201612 0.02284466 0.0051 0.11899389 -0.01902802 +261: 201703 0.02185142 0.0074 0.01294375 -0.02168661 +262: 201706 0.02147595 0.0098 0.07365837 -0.02432134 +263: 201709 0.02132813 0.0103 0.08875791 -0.02799587 +264: 201712 0.02075782 0.0132 0.12023222 -0.02490222 > > fwrite(dt_predict, "./tmp/predict.csv") > ################################################################################## @@ -266,4 +266,4 @@ The following objects are masked from ‘package:dplyr’: > > proc.time() user system elapsed - 2.462 0.335 4.291 + 1.506 0.172 2.113 diff --git a/log/rp_measure.log.R b/log/rp_measure.log.R @@ -1,7 +1,7 @@ -R version 3.6.2 (2019-12-12) -- "Dark and Stormy Night" -Copyright (C) 2019 The R Foundation for Statistical Computing -Platform: x86_64-apple-darwin15.6.0 (64-bit) +R version 4.1.3 (2022-03-10) -- "One Push-Up" +Copyright (C) 2022 The R Foundation for Statistical Computing +Platform: x86_64-apple-darwin17.0 (64-bit) R is free software and comes with ABSOLUTELY NO WARRANTY. You are welcome to redistribute it under certain conditions. @@ -36,7 +36,7 @@ Type 'q()' to quit R. Log file for code executed at > message(format(Sys.time(), "%a %b %d %X %Y")) -Mon Mar 23 09:00:04 2020 +Mon Jun 06 12:38:03 2022 > ################################################################################## > > @@ -76,9 +76,9 @@ Loading required package: lubridate Attaching package: ‘lubridate’ -The following object is masked from ‘package:base’: +The following objects are masked from ‘package:base’: - date + date, intersect, setdiff, union Loading required package: lmtest Loading required package: zoo @@ -101,8 +101,8 @@ Loading required package: stargazer Please cite as: - Hlavac, Marek (2018). stargazer: Well-Formatted Regression and Summary Statistics Tables. - R package version 5.2.2. https://CRAN.R-project.org/package=stargazer + Hlavac, Marek (2022). stargazer: Well-Formatted Regression and Summary Statistics Tables. + R package version 5.2.3. https://CRAN.R-project.org/package=stargazer Loading required package: data.table @@ -145,24 +145,24 @@ The following objects are masked from ‘package:lubridate’: test test (1) (2) (3) (4) ------------------------------------------------------------------------------------------- -dp 3.633*** 3.633*** 3.411*** 3.411*** - (0.441) (1.075) (0.437) (1.133) +dp 3.632*** 3.632*** 3.370*** 3.370*** + (0.440) (1.074) (0.436) (1.135) -cay 2.156*** 2.156*** 1.873*** 1.873*** - (0.261) (0.605) (0.250) (0.629) +cay 2.156*** 2.156*** 1.814*** 1.814*** + (0.261) (0.604) (0.246) (0.630) -rf -0.938*** -0.938** -1.229*** -1.229*** - (0.177) (0.364) (0.163) (0.381) +rf -0.938*** -0.938** -1.246*** -1.246*** + (0.177) (0.364) (0.163) (0.378) -Constant -0.019 -0.019 0.008 0.008 - (0.015) (0.037) (0.014) (0.037) +Constant -0.019 -0.019 0.011 0.011 + (0.015) (0.037) (0.013) (0.036) ------------------------------------------------------------------------------------------- -Observations 236 260 -R2 0.384 0.351 -Adjusted R2 0.376 0.343 -Residual Std. Error 0.074 (df = 232) 0.074 (df = 256) -F Statistic 48.180*** (df = 3; 232) 46.061*** (df = 3; 256) +Observations 236 264 +R2 0.384 0.344 +Adjusted R2 0.376 0.336 +Residual Std. Error 0.074 (df = 232) 0.074 (df = 260) +F Statistic 48.181*** (df = 3; 232) 45.459*** (df = 3; 260) =========================================================================================== Note: *p<0.1; **p<0.05; ***p<0.01 > @@ -175,21 +175,21 @@ Note: *p<0.1; **p<0.05 =========================================================== Future Excess Returns ----------------------------------------------------------- -D/P ratio 3.411*** - (0.437) +D/P ratio 3.370*** + (0.436) -cay 1.873*** - (0.250) +cay 1.814*** + (0.246) -T-bill (three-month) -1.229*** +T-bill (three-month) -1.246*** (0.163) -Constant 0.008 - (0.014) +Constant 0.011 + (0.013) -Observations 260 -R2 0.351 -F Statistic 46.061*** (df = 3; 256) +Observations 264 +R2 0.344 +F Statistic 45.459*** (df = 3; 260) ----------------------------------------------------------- Notes: ***Significant at the 1 percent level. **Significant at the 5 percent level. @@ -216,17 +216,17 @@ Notes: ***Significant at the 1 percent level. + dp, cay, rf, rmrf_y3, exp_rmrf)] > dt_plot[] date dp cay rf rmrf_y3 exp_rmrf - 1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21561991 - 2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22985471 - 3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20996430 - 4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21264141 - 5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.21012652 + 1: 1952-03-01 0.05817138 0.01510493 0.0159 0.18092953 0.21495611 + 2: 1952-06-01 0.05739649 0.02483727 0.0170 0.21642173 0.22862789 + 3: 1952-09-01 0.05709103 0.01484008 0.0171 0.23193277 0.20933933 + 4: 1952-12-01 0.05522191 0.02216598 0.0209 0.22202729 0.21159354 + 5: 1953-03-01 0.05455042 0.02152118 0.0201 0.26058722 0.20915790 --- -256: 2015-12-01 0.02191273 -0.02350179 0.0023 0.07466284 0.03635076 -257: 2016-03-01 0.02265601 -0.02321807 0.0029 0.11699368 0.03867995 -258: 2016-06-01 0.02307582 -0.01823511 0.0027 0.11884748 0.04969115 -259: 2016-09-01 0.02297658 -0.01942223 0.0029 0.10353283 0.04688330 -260: 2016-12-01 0.02284611 -0.01902802 0.0051 0.11910203 0.04447305 +260: 2016-12-01 0.02284466 -0.01902802 0.0051 0.11899389 0.04744519 +261: 2017-03-01 0.02185142 -0.02168661 0.0074 0.01294375 0.03640904 +262: 2017-06-01 0.02147595 -0.02432134 0.0098 0.07365837 0.02737347 +263: 2017-09-01 0.02132813 -0.02799587 0.0103 0.08875791 0.01958676 +264: 2017-12-01 0.02075782 -0.02490222 0.0132 0.12023222 0.01966250 > > > p0 <- dt_plot[, .(date, dp, cay, rf, rmrf_y3) ] %>% @@ -256,4 +256,4 @@ Notes: ***Significant at the 1 percent level. > > proc.time() user system elapsed - 3.096 0.328 4.087 + 2.456 0.224 2.887 diff --git a/output/msi.csv b/output/msi.csv @@ -3,17 +3,17 @@ date,vwretd,vwretx 1926-01-30,0.0005610363,-0.001395089 1926-02-27,-0.03304553,-0.03658723 1926-03-31,-0.06400222,-0.07002128 -1926-04-30,0.03701948,0.03403132 +1926-04-30,0.03702872,0.03404304 1926-05-28,0.01209523,0.008584509 1926-06-30,0.05366369,0.04618894 -1926-07-31,0.03141126,0.029225 +1926-07-31,0.0314107,0.02922447 1926-08-31,0.02864728,0.02535763 1926-09-30,0.00578737,3.00449e-05 1926-10-30,-0.02899619,-0.03106881 1926-11-30,0.02855394,0.0229787 1926-12-31,0.029211,0.0214219 1927-01-31,0.002416228,5.323665e-05 -1927-02-28,0.0453671,0.04116976 +1927-02-28,0.0453701,0.04117489 1927-03-31,0.003756279,-0.002241672 1927-04-30,0.007225051,0.005134092 1927-05-31,0.05777311,0.05362266 @@ -60,7 +60,7 @@ date,vwretd,vwretx 1930-10-31,-0.08657879,-0.08912858 1930-11-29,-0.02805652,-0.0319168 1930-12-31,-0.07773924,-0.08443576 -1931-01-31,0.06379242,0.06107003 +1931-01-31,0.06378046,0.06105814 1931-02-28,0.1096945,0.1047697 1931-03-31,-0.06286591,-0.06799862 1931-04-30,-0.100219,-0.1023665 @@ -76,14 +76,14 @@ date,vwretd,vwretx 1932-02-29,0.05766299,0.05059035 1932-03-31,-0.1105994,-0.1179782 1932-04-30,-0.1794166,-0.1820323 -1932-05-31,-0.2061975,-0.2128041 -1932-06-30,-0.004288589,-0.01585415 -1932-07-30,0.340643,0.3381621 -1932-08-31,0.3713858,0.3653115 -1932-09-30,-0.02864878,-0.03460884 +1932-05-31,-0.2061978,-0.2128043 +1932-06-30,-0.004288574,-0.01585414 +1932-07-30,0.3406433,0.3381623 +1932-08-31,0.3713877,0.3653134 +1932-09-30,-0.02864889,-0.03460895 1932-10-31,-0.1325531,-0.1340244 -1932-11-30,-0.0582601,-0.06351208 -1932-12-31,0.0452272,0.03653667 +1932-11-30,-0.05826015,-0.06351214 +1932-12-31,0.04522722,0.0365367 1933-01-31,0.009813348,0.00788943 1933-02-28,-0.1532038,-0.1580706 1933-03-31,0.03310537,0.02502997 @@ -102,7 +102,7 @@ date,vwretd,vwretx 1934-04-30,-0.01834544,-0.0197426 1934-05-31,-0.07227332,-0.07535212 1934-06-30,0.02534446,0.02082335 -1934-07-31,-0.1093659,-0.111132 +1934-07-31,-0.1093633,-0.1111295 1934-08-31,0.05704261,0.05171052 1934-09-29,-0.002361888,-0.006752963 1934-10-31,-0.01889535,-0.02033311 @@ -439,692 +439,719 @@ date,vwretd,vwretx 1962-05-31,-0.08461992,-0.08976255 1962-06-29,-0.08261504,-0.0843363 1962-07-31,0.06543834,0.06412908 -1962-08-31,0.02341672,0.01788764 -1962-09-28,-0.05015823,-0.05178678 -1962-10-31,0.002187336,0.0004307727 -1962-11-30,0.1101368,0.1029244 -1962-12-31,0.01186474,0.01005597 -1963-01-31,0.05184811,0.05047498 -1963-02-28,-0.02193102,-0.02660777 -1963-03-29,0.03291725,0.03123254 -1963-04-30,0.0474385,0.04643453 -1963-05-31,0.02005121,0.01472589 -1963-06-28,-0.01803017,-0.01945858 -1963-07-31,-0.001717713,-0.002994894 -1963-08-30,0.0526837,0.04803517 -1963-09-30,-0.01189818,-0.01331662 -1963-10-31,0.02770818,0.02627621 -1963-11-29,-0.005549108,-0.01169168 -1963-12-31,0.02173631,0.01997825 -1964-01-31,0.02578997,0.02473084 -1964-02-28,0.01720724,0.0126531 -1964-03-31,0.0176361,0.01596718 -1964-04-30,0.004607626,0.003672387 +1962-08-31,0.02341668,0.01788757 +1962-09-28,-0.05015767,-0.05178621 +1962-10-31,0.002187635,0.0004310835 +1962-11-30,0.1101369,0.1029244 +1962-12-31,0.01186515,0.0100564 +1963-01-31,0.05184823,0.05047511 +1963-02-28,-0.02193106,-0.02660784 +1963-03-29,0.03291728,0.03123259 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-1984-04-30,0.002538022,0.0008008646 -1984-05-31,-0.05231993,-0.057705 -1984-06-29,0.02338528,0.01950237 -1984-07-31,-0.02062114,-0.0225417 -1984-08-31,0.1126885,0.1068118 -1984-09-28,0.0004043814,-0.002537604 -1984-10-31,-7.382668e-05,-0.002921365 -1984-11-30,-0.010685,-0.01525722 -1984-12-31,0.0236557,0.02009463 -1985-01-31,0.08571779,0.08350623 -1985-02-28,0.01689597,0.01226748 -1985-03-29,-0.001746779,-0.004924281 -1985-04-30,-0.002186324,-0.003957598 -1985-05-31,0.05577472,0.05079897 -1985-06-28,0.01709133,0.01403798 -1985-07-31,-0.0002511031,-0.002220191 -1985-08-30,-0.00479548,-0.009592973 -1985-09-30,-0.0398255,-0.04257619 -1985-10-31,0.04444139,0.04202319 -1985-11-29,0.06922796,0.06469836 -1985-12-31,0.04306141,0.04008036 -1986-01-31,0.009829425,0.008006301 -1986-02-28,0.07250004,0.06818967 -1986-03-31,0.05388493,0.05135969 -1986-04-30,-0.007902812,-0.009633468 -1986-05-30,0.05084357,0.04712284 -1986-06-30,0.01424553,0.01162394 -1986-07-31,-0.05970048,-0.06145449 -1986-08-29,0.06618101,0.06242792 -1986-09-30,-0.07902107,-0.0812735 -1986-10-31,0.04930313,0.0468585 -1986-11-28,0.01509289,0.01087366 -1986-12-31,-0.02638821,-0.02905734 -1987-01-30,0.1284963,0.1269244 -1987-02-27,0.04791798,0.04449139 -1987-03-31,0.02366442,0.02121804 -1987-04-30,-0.01700052,-0.01889795 -1987-05-29,0.005124947,0.001874354 -1987-06-30,0.04366169,0.04114968 -1987-07-31,0.04424779,0.04234821 -1987-08-31,0.03714636,0.03385976 -1987-09-30,-0.02077383,-0.02284639 -1987-10-30,-0.225363,-0.2273441 -1987-11-30,-0.07227264,-0.07651292 -1987-12-31,0.07032661,0.06721444 -1988-01-29,0.04488041,0.04304757 -1988-02-29,0.05169475,0.0459987 -1988-03-31,-0.01659758,-0.01927279 -1988-04-29,0.01099083,0.009188472 -1988-05-31,0.000447785,-0.003858654 -1988-06-30,0.05145948,0.04874565 -1988-07-29,-0.007271733,-0.009940206 -1988-08-31,-0.02800588,-0.0324433 -1988-09-30,0.03720232,0.03460302 -1988-10-31,0.01764623,0.0144825 -1988-11-30,-0.01641204,-0.02113119 -1988-12-30,0.02107465,0.01763094 -1989-01-31,0.06610258,0.06330663 -1989-02-28,-0.01644639,-0.02017669 -1989-03-31,0.02146523,0.01864206 -1989-04-28,0.04820446,0.0462695 -1989-05-31,0.03933809,0.03458369 -1989-06-30,-0.004866142,-0.007438884 -1989-07-31,0.07713073,0.07488354 -1989-08-31,0.0221267,0.01822815 -1989-09-29,-0.001474362,-0.003969902 -1989-10-31,-0.02928529,-0.0313375 -1989-11-30,0.0178139,0.01433103 -1989-12-29,0.01829512,0.01551648 -1990-01-31,-0.07011517,-0.07194859 -1990-02-28,0.01490096,0.01095788 -1990-03-30,0.02414006,0.02161839 -1990-04-30,-0.0282857,-0.03056491 -1990-05-31,0.08893429,0.08464792 -1990-06-29,-0.004196256,-0.006739403 -1990-07-31,-0.009402919,-0.01160359 -1990-08-31,-0.09190542,-0.09571898 -1990-09-28,-0.05384322,-0.05610874 -1990-10-31,-0.01250398,-0.01505387 -1990-11-30,0.06574359,0.0614158 -1990-12-31,0.02951265,0.02627569 -1991-01-31,0.04907785,0.04698179 -1991-02-28,0.07584678,0.07183495 -1991-03-28,0.02892273,0.02670245 -1991-04-30,0.003314882,0.001189869 -1991-05-31,0.0407327,0.03717303 -1991-06-28,-0.04402925,-0.04627695 -1991-07-31,0.04679512,0.04498963 -1991-08-30,0.0268165,0.02328449 -1991-09-30,-0.01097486,-0.01307413 -1991-10-31,0.01781452,0.01621535 -1991-11-29,-0.03727527,-0.0405571 -1991-12-31,0.1067778,0.104142 -1992-01-31,-0.001182341,-0.002610427 -1992-02-28,0.01335434,0.01030639 -1992-03-31,-0.02369961,-0.02597122 -1992-04-30,0.01341884,0.01187601 -1992-05-29,0.006438549,0.003333374 -1992-06-30,-0.01927053,-0.02167862 -1992-07-31,0.03989998,0.0383686 -1992-08-31,-0.02081965,-0.02397173 -1992-09-30,0.01244722,0.01027109 -1992-10-30,0.01098552,0.009548468 -1992-11-30,0.04019304,0.03696318 -1992-12-31,0.01776835,0.01555981 -1993-01-29,0.01264374,0.01132782 -1993-02-26,0.005402277,0.00264014 -1993-03-31,0.02511569,0.02268481 -1993-04-30,-0.02540042,-0.02672407 -1993-05-28,0.02959926,0.02656515 -1993-06-30,0.005440016,0.003222431 -1993-07-30,-0.0007919354,-0.002139848 -1993-08-31,0.03947853,0.03654622 -1993-09-30,0.0006406775,-0.001341677 -1993-10-29,0.01806427,0.01674332 -1993-11-30,-0.01760636,-0.02048276 -1993-12-31,0.01951495,0.0174882 -1994-01-31,0.03146612,0.03007716 -1994-02-28,-0.02422607,-0.02677939 -1994-03-31,-0.04579477,-0.04788306 -1994-04-29,0.009477681,0.008027069 -1994-05-31,0.009360213,0.006368834 -1994-06-30,-0.02790886,-0.03008349 -1994-07-29,0.03062849,0.02925417 -1994-08-31,0.04259737,0.03969129 -1994-09-30,-0.01836337,-0.02037859 -1994-10-31,0.01451999,0.0129993 -1994-11-30,-0.03721879,-0.03999278 -1994-12-30,0.01260929,0.01016868 -1995-01-31,0.02039915,0.01879849 -1995-02-28,0.03961473,0.03703996 -1995-03-31,0.02704092,0.02486156 -1995-04-28,0.02504808,0.02359617 -1995-05-31,0.03400704,0.03122701 -1995-06-30,0.03116877,0.02923957 -1995-07-31,0.04077881,0.03893033 -1995-08-31,0.009298149,0.006800372 -1995-09-29,0.03636483,0.03465203 -1995-10-31,-0.01131434,-0.01264595 -1995-11-30,0.04280418,0.04033424 -1995-12-29,0.01518271,0.01334402 -1996-01-31,0.02813779,0.02682067 -1996-02-29,0.01631033,0.01418833 -1996-03-29,0.0109254,0.009221327 -1996-04-30,0.02550821,0.02426316 -1996-05-31,0.02680193,0.02454256 -1996-06-28,-0.008302097,-0.009833575 -1996-07-31,-0.05381449,-0.05525121 -1996-08-30,0.03244783,0.03037689 -1996-09-30,0.05303539,0.05132859 -1996-10-31,0.01372897,0.01235742 -1996-11-29,0.06557749,0.06359541 -1996-12-31,-0.01139712,-0.01307643 -1997-01-31,0.05347287,0.05238989 -1997-02-28,-0.001122383,-0.002857378 -1997-03-31,-0.04486756,-0.04651896 -1997-04-30,0.04237316,0.04115718 -1997-05-30,0.07162357,0.06977165 -1997-06-30,0.04409472,0.04270323 -1997-07-31,0.0765142,0.07520195 -1997-08-29,-0.03629111,-0.03764974 -1997-09-30,0.0584994,0.05709451 -1997-10-31,-0.03443615,-0.03550582 -1997-11-28,0.03040374,0.02889054 -1997-12-31,0.01781677,0.01630194 -1998-01-30,0.00450245,0.003623927 -1998-02-27,0.07330329,0.07179834 -1998-03-31,0.05130106,0.05004393 -1998-04-30,0.0109035,0.009902244 -1998-05-29,-0.02574788,-0.02703987 -1998-06-30,0.03194402,0.03072486 -1998-07-31,-0.02336717,-0.02434328 -1998-08-31,-0.1578439,-0.1591526 -1998-09-30,0.06382662,0.06230775 -1998-10-30,0.07439252,0.07337496 -1998-11-30,0.0620232,0.06061488 -1998-12-31,0.0630511,0.06172314 -1999-01-29,0.03845618,0.03765746 -1999-02-26,-0.03808507,-0.03927058 -1999-03-31,0.03793213,0.03665881 -1999-04-30,0.04910428,0.04828288 -1999-05-28,-0.02071776,-0.02239156 -1999-06-30,0.05082913,0.04973078 -1999-07-30,-0.0308426,-0.03171954 -1999-08-31,-0.009931256,-0.01108918 -1999-09-30,-0.02269279,-0.02389618 -1999-10-29,0.06209515,0.06130581 -1999-11-30,0.03682369,0.03561741 -1999-12-31,0.08375403,0.0826427 -2000-01-31,-0.03962428,-0.04026527 -2000-02-29,0.03177836,0.03067524 -2000-03-31,0.05350066,0.05251684 -2000-04-28,-0.05952697,-0.06031731 -2000-05-31,-0.03886961,-0.04002852 -2000-06-30,0.05160347,0.05080572 -2000-07-31,-0.01771172,-0.01843186 -2000-08-31,0.07500581,0.07382455 -2000-09-29,-0.05114141,-0.05188189 -2000-10-31,-0.02448968,-0.02516421 -2000-11-30,-0.1023722,-0.1035794 -2000-12-29,0.02042246,0.01942778 -2001-01-31,0.03960141,0.03881325 -2001-02-28,-0.09910221,-0.1002009 -2001-03-30,-0.07039171,-0.07134792 -2001-04-30,0.08382919,0.08282384 -2001-05-31,0.01045539,0.009069419 -2001-06-29,-0.01755298,-0.01832802 -2001-07-31,-0.01829797,-0.01926488 -2001-08-31,-0.05898125,-0.06035627 -2001-09-28,-0.09148504,-0.09261797 -2001-10-31,0.02783571,0.02681765 -2001-11-30,0.07877681,0.07734103 -2001-12-31,0.01785255,0.0165704 -2002-01-31,-0.01597466,-0.01692923 -2002-02-28,-0.02169649,-0.02306285 -2002-03-28,0.04467795,0.04370853 -2002-04-30,-0.04961811,-0.05052143 -2002-05-31,-0.0105211,-0.0119692 -2002-06-28,-0.07025092,-0.07150696 -2002-07-31,-0.08114888,-0.08233408 -2002-08-30,0.007976094,0.006431337 -2002-09-30,-0.09992006,-0.1013843 -2002-10-31,0.07491931,0.07350148 -2002-11-29,0.06126282,0.05959323 -2002-12-31,-0.0533152,-0.05495828 -2003-01-31,-0.0233996,-0.02460976 -2003-02-28,-0.01539111,-0.01721772 -2003-03-31,0.01031803,0.008897427 -2003-04-30,0.08274979,0.08116248 -2003-05-30,0.06343608,0.06174282 -2003-06-30,0.01632021,0.0147709 -2003-07-31,0.02309801,0.02174949 -2003-08-29,0.024996,0.02351638 -2003-09-30,-0.009116273,-0.01060211 -2003-10-31,0.06031565,0.0588359 -2003-11-28,0.01659348,0.01505179 -2003-12-31,0.04550484,0.04384754 -2004-01-30,0.0230366,0.02201326 -2004-02-27,0.01547919,0.01399358 -2004-03-31,-0.01066659,-0.01199073 -2004-04-30,-0.02421352,-0.02556025 -2004-05-28,0.01405848,0.01237351 -2004-06-30,0.02160102,0.02003895 -2004-07-30,-0.03767046,-0.0387651 -2004-08-31,0.002727823,0.001083412 -2004-09-30,0.02054298,0.01908519 -2004-10-29,0.01780594,0.01657873 -2004-11-30,0.04820797,0.04431315 -2004-12-31,0.03517713,0.03342184 -2005-01-31,-0.02655135,-0.0274052 -2005-02-28,0.02267583,0.02083903 -2005-03-31,-0.01694849,-0.01858328 -2005-04-29,-0.02518493,-0.02656883 -2005-05-31,0.03795411,0.03615026 -2005-06-30,0.01152576,0.009901968 -2005-07-29,0.0433351,0.04222868 -2005-08-31,-0.00594371,-0.007761298 -2005-09-30,0.01060712,0.009338492 -2005-10-31,-0.02087304,-0.0219813 -2005-11-30,0.04032233,0.03807018 -2005-12-30,0.003457065,0.001886002 -2006-01-31,0.04004084,0.03893497 -2006-02-28,-0.001638789,-0.003553021 -2006-03-31,0.01904188,0.01757468 -2006-04-28,0.01296329,0.01149243 -2006-05-31,-0.03104144,-0.03302072 -2006-06-30,-0.0003881133,-0.001882678 -2006-07-31,-0.001874151,-0.002917871 -2006-08-31,0.0250479,0.02297407 -2006-09-29,0.01942438,0.01810526 -2006-10-31,0.03713327,0.03608699 -2006-11-30,0.02370242,0.02133826 -2006-12-29,0.01085541,0.009152518 -2007-01-31,0.01939655,0.01846114 -2007-02-28,-0.01398767,-0.01597926 -2007-03-30,0.01294977,0.01147453 -2007-04-30,0.03981525,0.03844891 -2007-05-31,0.03893219,0.03664323 -2007-06-29,-0.01476538,-0.01612821 -2007-07-31,-0.03176044,-0.03276376 -2007-08-31,0.01163043,0.009677426 -2007-09-28,0.04084195,0.03932541 -2007-10-31,0.0257964,0.02465501 -2007-11-30,-0.04932737,-0.05127594 -2007-12-31,-0.004423245,-0.00651094 -2008-01-31,-0.06213814,-0.0632433 -2008-02-29,-0.02166337,-0.02360476 -2008-03-31,-0.01042054,-0.01215964 -2008-04-30,0.05106048,0.04973567 -2008-05-30,0.02380778,0.02149424 -2008-06-30,-0.0784257,-0.08024146 -2008-07-31,-0.01334129,-0.01468987 -2008-08-29,0.01056561,0.008576034 -2008-09-30,-0.0979804,-0.09977011 -2008-10-31,-0.1846477,-0.1861356 -2008-11-28,-0.08461469,-0.08735445 -2008-12-31,0.02215415,0.01908681 -2009-01-30,-0.0773147,-0.07870851 -2009-02-27,-0.1002706,-0.1034573 -2009-03-31,0.08674762,0.0834888 -2009-04-30,0.1093522,0.107516 -2009-05-29,0.06777447,0.06512436 -2009-06-30,-0.003099177,-0.005042021 -2009-07-31,0.08175195,0.08033118 -2009-08-31,0.03146854,0.02930973 -2009-09-30,0.04521635,0.0435763 -2009-10-30,-0.02797095,-0.02922734 -2009-11-30,0.05711698,0.05466093 -2009-12-31,0.02843039,0.0264044 -2010-01-29,-0.03709752,-0.03811116 -2010-02-26,0.03478614,0.0326999 -2010-03-31,0.06362587,0.06194043 -2010-04-30,0.02006334,0.01895044 -2010-05-28,-0.07916308,-0.08125119 -2010-06-30,-0.05074472,-0.05248469 -2010-07-30,0.0703086,0.06861098 -2010-08-31,-0.04284408,-0.0449692 -2010-09-30,0.09154682,0.08966427 -2010-10-29,0.03851225,0.03699014 -2010-11-30,0.005124541,0.002924999 -2010-12-31,0.06720509,0.06487299 -2011-01-31,0.01913699,0.01818248 -2011-02-28,0.03817537,0.03624301 -2011-03-31,0.00335316,0.001767893 -2011-04-29,0.02866654,0.02755181 -2011-05-31,-0.01489987,-0.01690683 -2011-06-30,-0.01838777,-0.02015328 -2011-07-29,-0.02252415,-0.0236647 -2011-08-31,-0.05749821,-0.05963816 -2011-09-30,-0.08486251,-0.08655389 -2011-10-31,0.1140301,0.1126193 -2011-11-30,-0.006207199,-0.00887476 -2011-12-30,0.003696293,0.001449027 -2012-01-31,0.05409463,0.05294651 -2012-02-29,0.0412389,0.03896671 -2012-03-30,0.02400399,0.02211977 -2012-04-30,-0.006806476,-0.008024212 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+201712,0.0207578180060589,0.0132,0.120232215876005,-0.0249022235,0.0196624980491763 diff --git a/output/predict.png b/output/predict.png Binary files differ. diff --git a/readme.md b/readme.md @@ -30,21 +30,21 @@ We use the dividend-price ratio, cay and the three-month T-bill to predict futur =========================================================== Future Excess Returns ----------------------------------------------------------- -D/P ratio 3.411*** - (0.437) +D/P ratio 3.370*** + (0.436) -cay 1.873*** - (0.250) +cay 1.814*** + (0.246) -T-bill (three-month) -1.229*** +T-bill (three-month) -1.246*** (0.163) -Constant 0.008 - (0.014) +Constant 0.011 + (0.013) -Observations 260 -R2 0.351 -F Statistic 46.061*** (df = 3; 256) +Observations 264 +R2 0.344 +F Statistic 45.459*** (df = 3; 260) ----------------------------------------------------------- Notes: ***Significant at the 1 percent level. **Significant at the 5 percent level.