Overspecified Asset Pricing Models JFE

YO_DATA0.xlsx - Data for Tables 1 and 2. Quarterly data 1951-2001. Sheet 1 "r25" - 25 nominal excess returns of size and book-to-market sorted portfolios. Sheet 2 "YO" - 3 factors in Yogo model (market, nondurables, durables). The above data were taken from Motohiro Yogo's web page https://sites.google.com/site/motohiroyogo/ YO_DATA.xlsx - Data for Tables 1 and 2. Quarterly data 1949-2012. Sheet 1 "r5" - 5 real excess returns of industry portfolios. Sheet 2 "r6" - 6 real excess returns of size and book-to-market sorted portfolios. Sheet 3 "r25" - 25 real excess returns of size and book-to-market sorted portfolios. Sheet 4 "YO" - 3 factors in Yogo model (market, nondurables, durables). The above data were kindly provided by Craig Burnside. JW_DATA.xlsx - Data for Tables 1 and 2. Monthly data 1959-2012. Sheet 1 "r5" - 5 nominal excess returns of industry portfolios. Sheet 2 "r6" - 6 nominal excess returns of size and book-to-market sorted portfolios. Sheet 3 "r25" - 25 nominal excess returns of size and book-to-market sorted portfolios. Sheet 4 "JW" - 3 factors in Jagannathan-Wang model (market, labor, premium). The above data were kindly provided by Cesare Robotti. In all cases, the original return data were taken from Kenneth French data library https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html