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Data Title: The FRBNY Equity Risk Premium Publication: Adrian, Tobias, Richard K. Crump and Emanuel Moench. “Regression-Based Estimation of Dynamic Asset Pricing Models”. Journal of Financial Economics, forthcoming. Publication2: Adrian, Tobias, Richard K. Crump and Emanuel Moench. “Regression-Based Estimation of Dynamic Asset Pricing Models”. Federal Reserve Bank of New York Staff Reports, Number 493. Data Citation: The FRBNY Equity Risk Premium, from: Adrian, Tobias, Richard K. Crump and Emanuel Moench. “Regression-Based Estimation of Dynamic Asset Pricing Models”. Journal of Financial Economics, forthcoming. Paper Title: Regression-Based Estimation of Dynamic Asset Pricing Models Authors : Tobias Adrian, Richard K. Crump, Emanuel Moench Creation Date : Updated regularly Distributor : Federal Reserve Bank of NY Contact : Tobias Adrian, Richard Crump Primary Data Source: Haver Analytics Ken French Data Library (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) Description: This is the time series of FRBNY’s estimate of the equity risk premium (ERP), over 1 month, 1 year, 5 year, and 10 year horizons. The ERP is estimated from dividend yield and treasury data from Haver Analytics, and market returns data from Ken French.s Keywords: dynamic asset pricing, Fama-MacBeth regressions, time-varying betas, GMM, minimum distance estimation, reduced rank regression 1 Topic Classification: G10 (General Financial Markets); G12 (Asset Pricing, Trading Volume, Bond Interest Rates); C58 (Financial Econometrics) Data Frequency: Monthly Time Period Covered: 1964:01 – 2015:02 (updated regularly) Level of observation/level of aggregation: Monthly, by horizon (1 month, 1 year, 5 years, 10 years) Data Content Type Data (dates, numbers) text (headings) Data File Type .xlsx Number of files: 1 Data Terms or Restrictions: Terms of Use 2