Data Sources

Two WRDS pulls supply everything.

CRSP monthly market index (crsp.msi) — the pre-aggregated value-weighted market index. The key columns are vwretd (return including dividends) and vwretx (return excluding dividends): their difference is the month’s dividend as a fraction of the prior month’s price, which lets us reconstruct the dividend-price ratio without a separate dividend file. Compounding vwretx gives a price level, the trailing twelve months of backed-out dividends give an annual dividend, and the predictor is their ratio.

Fama-French monthly factors (ff.factors_monthly) — the one-month Treasury-bill rate, used to form continuously compounded excess returns (matching the paper’s specification; using simple returns overstates the slope by ~50% in the volatile pre-war years).

Universe note: Stambaugh uses a NYSE-only value-weighted index; we use the CRSP total-market VW index because our WRDS instance carries no pre-built NYSE-only monthly index with both return columns. Both are value-weighted, so the same mega-cap firms dominate both, and the universes coincide for the first half of the sample. A NYSE-only rebuild from the stock file is a separate robustness check.

The merged panel runs June 1927 to December 2024 (1,171 months). Raw data lives only in the git-ignored _data/ folder and never enters the repository.