Some explanations: Stock returns are value-weighted annual stock market returns. (In the final year, we use the S&P500, because vw was not yet available. The difference should be minuscule.) Fields are tab separated. Excess Return subtracts the risk-free rate of return from the stock market rate of return. DivYield and DivPrc are the prevailing dividend yield and dividend price ratio. InSampDY are residuals, using the dividend yield to predict, when estimated in-sample. InSampDP are residuals, using the dividend ratio to predict, when estimated in-sample. OutSamp is when the predictive regressions are estimated only with data note to date. If you use this data, please see Goyal-Welch (2003, management science) for more detailed data description and data information---and feel free to cite the paper as your data source. Year StockReturn ExcessReturn DivYield DivPrc InSampDY InSampDP OutSampDY OutSampDP 1926 0.0961716318 0.0596715478 -2.9636551831 -3.0030665117 NaN NaN NaN NaN 1927 0.3330288538 0.2565940005 -2.9041120561 -3.1433854276 0.0852207562 0.0935589211 NaN NaN 1928 0.3892865417 0.2940450269 -3.1063700002 -3.3960007690 0.0709761587 0.1018028695 NaN NaN 1929 -0.1455973033 -0.2036613401 -3.2779769632 -3.0830298184 0.0453316913 0.0737995691 NaN NaN 1930 -0.2836799061 -0.3576003113 -3.1329221787 -2.7521653217 0.0771032111 0.0500400013 NaN NaN 1931 -0.4442510405 -0.5982325735 -3.0126373784 -2.3649098280 0.1106912100 0.0701233297 NaN NaN 1932 -0.0925164081 -0.1065722485 -2.8723293662 -2.7065715859 0.1500037901 0.0867771695 NaN NaN 1933 0.5794991507 0.4541086631 -2.9281775981 -3.3436040491 0.1153196979 0.1062032911 NaN NaN 1934 0.0429612199 0.0402642039 -3.1799540113 -3.1809061373 0.0506507902 0.0984709134 NaN NaN 1935 0.4444818726 0.3663507816 -3.0758995762 -3.4023755419 0.0671672110 0.0636116124 NaN NaN 1936 0.3237629366 0.2786785606 -2.9744506010 -3.2110632457 0.0446845507 0.0780183030 NaN NaN 1937 -0.3460265653 -0.4275880632 -3.1209616745 -2.6416466624 0.0641057858 0.0920642587 NaN NaN 1938 0.2822244613 0.2489966500 -3.0854882503 -3.2907793765 0.1219106083 0.0717793022 NaN NaN 1939 0.0199996273 0.0197022969 -3.1170321572 -3.0889340601 0.0560133330 0.0766907184 NaN NaN 1940 -0.0747826933 -0.0775266129 -2.9698805045 -2.8338396617 0.0765038369 0.0723233572 NaN NaN 1941 -0.0950447255 -0.1002696769 -2.7410604384 -2.5713378618 0.1023999679 0.0926970041 NaN NaN 1942 0.1610366884 0.1465136728 -2.7087026090 -2.7900652881 0.1290480677 0.1243779207 NaN NaN 1943 0.2805135187 0.2436617239 -2.7818475510 -2.9779205165 0.1068437617 0.1288579723 NaN NaN 1944 0.2137772113 0.1904376245 -2.9142396644 -3.0582698368 0.0877734739 0.1187308062 NaN NaN 1945 0.3834955173 0.3214137200 -3.0418155982 -3.3257415368 0.0796167423 0.1004006677 NaN NaN 1946 -0.0599967615 -0.0654714186 -3.2084853338 -3.1051121316 0.0524641187 0.0827373457 0.0419605839 0.0116535101 1947 0.0337737085 0.0282171211 -2.9219762105 -2.8995082897 0.0748615058 0.0596613538 0.0412941562 -0.1321013812 1948 0.0232463397 0.0148832427 -2.7718305065 -2.7319133585 0.0957335597 0.0993295166 0.0511526973 0.1094984987 1949 0.2025142683 0.1733197403 -2.6573634967 -2.7730510619 0.1127471057 0.1201177001 0.0574640338 0.2166919626 1950 0.2985538053 0.2491573286 -2.5645029862 -2.7564224131 0.1085709758 0.1359660470 0.0643289528 0.2946723105 1951 0.2086977613 0.1747527919 -2.7787252365 -2.9114616393 0.1102590476 0.1488229006 0.0781207286 0.3512477791 1952 0.1331649992 0.1086260210 -2.8989579507 -2.9701096061 0.0945201049 0.1191631013 0.0691042705 0.1760480392 1953 0.0032519771 -0.0148392290 -2.9482545787 -2.8960703120 0.0885664053 0.1025164730 0.0648040750 0.0979484775 1954 0.5026188727 0.3986127791 -2.8374049963 -3.1965016317 0.0960825690 0.0956911871 0.0692937741 0.0638159051 1955 0.2529810760 0.2099365120 -3.0818823389 -3.2664886979 0.0655840208 0.1110386889 0.0478843445 0.1424406666 1956 0.0840127821 0.0562949490 -3.1984569544 -3.2395903309 0.0584792225 0.0771899691 0.0507439556 -0.0034414536 1957 -0.1054578523 -0.1425027643 -3.2044101665 -3.0504471385 0.0612098338 0.0610498170 0.0536903620 -0.0703801769 1958 0.4481282879 0.3550846595 -3.0867405728 -3.4181067298 0.0804108704 0.0602255746 0.0640578252 -0.0808480250 1959 0.1310018299 0.0937411195 -3.3707275142 -3.4614398224 0.0430875854 0.0765173301 0.0329046350 0.0182522856 1960 0.0085505410 -0.0178536449 -3.4368291152 -3.4110694410 0.0386885886 0.0371983720 0.0349238343 -0.1220186052 1961 0.2743360578 0.2214439117 -3.3605870611 -3.5732620309 0.0438019819 0.0280463804 0.0347301842 -0.1363733305 1962 -0.1034403299 -0.1361597761 -3.5369506387 -3.3938507079 0.0273368593 0.0386023522 0.0369776105 -0.0475586085 1963 0.2088629456 0.1590196702 -3.3399999666 -3.4978424066 0.0455499566 0.0141842149 0.0360041221 -0.1235609271 1964 0.1630076695 0.1163596957 -3.4164822391 -3.5373347845 0.0349931484 0.0414527055 0.0335755168 -0.0155615286 1965 0.1437545380 0.0958782365 -3.4459541677 -3.5501651821 0.0309840451 0.0308634746 0.0370144837 -0.0257135891 1966 -0.0868451920 -0.1372594642 -3.4910404255 -3.3668626671 0.0296815561 0.0267829859 0.0410813340 -0.0211327674 1967 0.2856095697 0.2100049243 -3.3397826484 -3.5606859240 0.0482896712 0.0205406401 0.0452397189 -0.0445508549 1968 0.1416800566 0.0816093720 -3.5100748482 -3.6137136780 0.0286135337 0.0414827939 0.0347436331 0.0151036611 1969 -0.1083643562 -0.1783267805 -3.5737816141 -3.4286236621 0.0232303749 0.0179052595 0.0337434805 -0.0174383692 1970 0.0007265183 -0.0624053960 -3.4693555209 -3.4346948032 0.0420199498 0.0090848411 0.0370081124 -0.0479666304 1971 0.1619715480 0.1071965382 -3.4431591701 -3.5637210972 0.0414036326 0.0235429889 0.0319402935 -0.0242614969 1972 0.1734027006 0.1222680530 -3.5451274814 -3.6783991829 0.0283054155 0.0271699628 0.0205960273 -0.0093472737 1973 -0.1877234265 -0.2749215688 -3.6513622714 -3.4131375514 0.0166637693 0.0130521032 0.0148969326 -0.0231333482 1974 -0.2793392464 -0.4046339184 -3.3304553158 -2.9586071987 0.0435920359 -0.0016564649 0.0280695819 -0.0685823809 1975 0.3736792815 0.2611272376 -2.9362525892 -3.2126122302 0.0897340822 0.0427741948 0.0850722175 -0.0074938251 1976 0.2676761173 0.1875887909 -3.1024147272 -3.3005837079 0.0639485393 0.0973529034 0.0482622385 0.1106697344 1977 -0.0297944786 -0.0802415106 -3.1595499744 -3.0837323538 0.0550180377 0.0743471901 0.0367558610 0.0660676557 1978 0.0854436199 0.0125947924 -2.9751753432 -3.0075430491 0.0770318926 0.0664366208 0.0701470782 0.0471062039 1979 0.2440272779 0.1195648520 -2.8841268765 -3.0520131493 0.0847663166 0.0919639157 0.0815942613 0.0983563651 1980 0.3322723864 0.1801978104 -2.9491836215 -3.1891089293 0.0802518954 0.1045698857 0.0750666495 0.1246007406 1981 -0.0397130205 -0.1778252809 -3.1117906082 -3.0246842721 0.0663344974 0.0955625580 0.0540610817 0.1078418953 1982 0.2041927106 0.0856518170 -2.9768190461 -3.1099721539 0.0830262103 0.0730490675 0.0778533323 0.0561064929 1983 0.2270472444 0.1203087471 -3.0769912759 -3.2418965823 0.0743681364 0.0917363394 0.0634496023 0.0935350865 1984 0.0326665256 -0.0616834291 -3.1973447628 -3.1867030967 0.0609757126 0.0778671534 0.0418653219 0.0666522763 1985 0.3145679012 0.1991402366 -3.1228805351 -3.3579376643 0.0665787276 0.0612038037 0.0494817857 0.0315209988 1986 0.1560204952 0.0852341723 -3.2455083934 -3.3560995137 0.0491957007 0.0715136294 0.0225541391 0.0547378017 1987 0.0175728111 -0.0358591670 -3.3121083777 -3.2976474685 0.0493823022 0.0545353852 0.0244044847 0.0222113512 1988 0.1759336652 0.1004262255 -3.1304176984 -3.2528075273 0.0553161127 0.0453143908 0.0330262599 0.0029302482 1989 0.2854918473 0.1707137308 -3.2049970742 -3.4212824394 0.0598680785 0.0704700835 0.0419834785 0.0538637200 1990 -0.0602487450 -0.1376010709 -3.4021666241 -3.3041162760 0.0427652004 0.0601443152 0.0158981149 0.0358735653 1991 0.3358623712 0.2351021077 -3.3266517368 -3.5857396653 0.0546594260 0.0328455202 0.0321881270 -0.0203811403 1992 0.0903908359 0.0520865125 -3.5910683691 -3.6502199471 0.0260701813 0.0433008133 -0.0119986357 0.0075642917 1993 0.1149181026 0.0802150871 -3.6251794348 -3.7085821342 0.0195244091 0.0066914310 -0.0196953799 -0.0573490772 1994 -0.0061015186 -0.0444564554 -3.6741454429 -3.6420930843 0.0135997206 0.0019686379 -0.0234658538 -0.0564667748 1995 0.3571851892 0.2509374484 -3.5752083762 -3.8569493007 0.0203494147 -0.0048108725 -0.0141688292 -0.0670864912 1996 0.2126692159 0.1421314582 -3.8113515854 -3.9839954293 -0.0014619021 0.0088873010 -0.0316109189 -0.0243015504 1997 0.3042393862 0.2144300526 -3.9415827936 -4.1904132581 -0.0143591010 -0.0238075297 -0.0332351283 -0.0593036675 1998 0.2255836596 0.1560120069 -4.1484726614 -4.3373665968 -0.0353137874 -0.0418384835 -0.0286752554 -0.0534805990 1999 0.2511765340 0.1782724235 -4.2648610373 -4.4759255137 -0.0502318842 -0.0704830895 -0.0154420816 -0.0552339311 2000 -0.1105297338 -0.1742916601 -4.5337817930 -4.4054935113 -0.0642978138 -0.0865974561 0.0055104806 -0.0311098276 2001 -0.1108850000 -0.1551134533 -4.4191535570 -4.2881268250 -0.0571478475 -0.1238304496 -0.0168179342 -0.0826871814 2002 -0.2196623929 -0.2641972044 -4.2688920810 -4.0027631610 -0.0452332656 -0.1079597804 -0.0236324333 -0.0828205846