kms {ivx}

KMS Monthly data

Description

The dataset that was used in Kostakis et al (2015), containing a range of financial variables.

• Date: year-month-date (monthly frequency)

• DE: dividend payout ratio

• LTY: long-term yield

• DY: dividend yield

• DP: dividend-price ratio

• TBL: T-bill rate

• EP: earnings-price ratio

• BM: book-to-market value ratio

• INF: inflation rate

• DFY: default yield spread

• NTIS: net equity expansion

• TMS: term spread

• Ret: S&P 500 value-weighted log excess returns

Usage

kms

Format

A data.frame with 13 variables and 1,033 observations.

Source

https://drive.google.com/open?id=1FdT2STHO2Lnlweom4AwICVf-rpVMfgV4