The Historical and Expected Equity Risk Premium in Spain: A Long-Run View, 1900-2020

Replication data for manuscript "The Historical and Expected Equity Risk Premium in Spain: A Long-Run View, 1900-2020". We present revised estimates of the historical (ex post) equity risk premium and an
original estimate of the expected (ex
ante) premium for the Madrid stock market over a period of 120 years. The
results are based on a new equity index, the H-IBEX (1900-1987), built on
high-quality monthly data hand-collected from primary sources and methodologically
aligned with the modern Spanish index, IBEX35. We also reconstructed an
original weighted index of government bonds (1900-1987) which can be smoothly
connected with recent data. Data include original series for equities, bonds and bills for the Madrid Stock Exchange from 1900 to 1987, at monthly and annual frequency, spliced with more recent data on equities (IBEX35) and bonds, to cover the period until 2020. Documentation includes three Excel files: monthly series, annual series and a summary of annual data.