Overspecified Asset Pricing Models JFE
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资源简介：
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
创建时间：
2022-10-06
