Data

Here you can find the datasets used to construct the examples in the book.

Campbell and Shiller, Stock Market Data Used in “Irrational Exuberance” Princeton University Press, 2000, 2005, 2015, updated

Campbell and Shiller’s data

Fama and French factors extended to Carhart’s (the momentum factor), sample January 02, 1963 – December 03, 2016 (Daily)

Fama – French – Carhart’s Data

International Stock Returns in USD, for 16 countries (Australia, Belgium, Canada, France, Germany, Hong-Kong, Italy, Japan, The Netherlands, Norway, Singapore, Spain, Sweden Switzerland, United Kingdom and USA), sample January, 1977 – December, 2012 (Monthly)

International Stock Returns Data in USD, Monthly

NASDAQ value-weighted returns (both including and excluding dividends), for the sample January 3, 2000 – December 30, 2016 (Daily)

NASDAQ Daily Data

NYSE value-weighted returns (both including and excluding dividends), for the sample January 3, 2000 – December 30, 2016 (Daily)

NYSE Daily Data

Predictability tests in Fama-French Factors, sample July, 1926 – December, 2016 (Monthly)

Predictability in F-F Data Factors, Monthly

Data on US Treasury Rates, sample January, 1982 – December, 2016 (Weekly)

US Treasury Rates, Weekly

S&P 500 Returns data, sample January, 1970 – December, 2016 (Monthly)

S&P 500, Monthly Returns

In addition to these datasets, we also post some data that are used to construct additional examples.

Bitcoin returns and hash rate, sample May, 2013 – January, 2019 (Daily)