Data used in Lettau and Ludvigson "Expected Returns and Expected Dividend Growth." cay = c - 0.327 a - 0.567 y cdy = c - 0.131 d - 0.679 y NOTE: The asset wealth variable in this file is measured at the END-OF-PERIOD, e.g. the observation in 1952 is wealth as of December 31 1952! year c a y d cay cdy (cay and cdy are demeaned) 1948 8.88826854 10.48319916 8.55897966 4.76649695 0.03825299 0.08548319 1949 8.89209157 10.51670362 8.56525414 5.02505583 0.02757556 0.05110429 1950 8.91520510 10.57024749 8.63323347 5.26865020 -0.00533440 -0.00392936 1951 8.93762801 10.58134231 8.65368305 5.17995323 0.00187267 0.01624731 1952 8.95933152 10.58637733 8.68171446 5.22230644 0.00604195 0.01335245 1953 8.98185283 10.58552728 8.72432521 5.21802784 0.00468697 0.00749440 1954 8.99118165 10.63288167 8.70985314 5.46231371 0.00675164 -0.00541418 1955 9.02211493 10.69099158 8.76069631 5.50537047 -0.01011637 -0.01466525 1956 9.04673927 10.71866515 8.79710799 5.51791966 -0.01517120 -0.01641883 1957 9.05962721 10.69315754 8.80419101 5.42843456 0.00203343 0.00340483 1958 9.06631952 10.74032083 8.79039698 5.67177133 0.00113965 -0.01247620 1959 9.09453698 10.75889943 8.82558929 5.56934127 0.00333989 0.00528456 1960 9.10429099 10.75648473 8.83162952 5.60624070 0.01045872 0.00609238 1961 9.11725603 10.81122652 8.84546980 5.68307880 -0.00230226 -0.00042915 1962 9.14071074 10.81122626 8.87830610 5.66923335 0.00253925 0.00254077 1963 9.16011069 10.83440723 8.90092137 5.77327541 0.00154797 -0.00707677 1964 9.19752246 10.88163082 8.95678197 5.84859840 -0.00812981 -0.01749267 1965 9.23791392 10.92959633 9.00417544 5.95035993 -0.01027064 -0.02264856 1966 9.27640572 10.92180022 9.05056650 5.92146715 0.00447084 -0.01187265 1967 9.29993383 10.99294888 9.09075652 6.04581118 -0.01802251 -0.03196369 1968 9.33802619 11.06032412 9.13602696 6.08144211 -0.02759893 -0.02929595 1969 9.36636231 11.01905294 9.16314720 5.96619615 -0.00115527 -0.00425172 1970 9.39088998 11.00870360 9.19932716 6.04854194 0.00624423 -0.01510660 1971 9.40474824 11.05583294 9.23104339 5.96289017 -0.01327002 -0.01154656 1972 9.44116023 11.14456366 9.26716812 5.98000390 -0.02631803 -0.00191676 1973 9.46859264 11.11955680 9.31524032 5.84573398 -0.01796724 0.01049051 1974 9.46260539 11.01910781 9.30496622 5.78071546 0.01467967 0.02001619 1975 9.47667946 11.05907108 9.32185484 5.93832766 0.00612697 0.00193027 1976 9.51388038 11.11463182 9.35727859 6.05767011 0.00509976 -0.00059420 1977 9.53669248 11.12819568 9.38039424 6.10752364 0.01037828 -0.00002627 1978 9.56372091 11.17092426 9.41096282 6.18899419 0.00612219 -0.00445428 1979 9.58021830 11.21833707 9.42243923 6.33003491 0.00062743 -0.01426565 1980 9.57588213 11.23950336 9.41853761 6.43099094 -0.00841077 -0.02920408 1981 9.57594600 11.21956700 9.41836206 6.28854606 -0.00173546 -0.01032263 1982 9.58001214 11.22423456 9.42089365 6.53288551 -0.00062895 -0.04004971 1983 9.61033961 11.24702896 9.43882831 6.40896113 0.01208677 -0.00563615 1984 9.63911673 11.27032856 9.48231155 6.46810402 0.00860490 -0.01415613 1985 9.67124716 11.33792446 9.50550005 6.58830395 0.00551164 -0.01355354 1986 9.69299827 11.40312628 9.53035298 6.60319824 -0.00812242 -0.01063753 1987 9.71914939 11.42067982 9.54355147 6.49385058 0.00481350 0.02090302 1988 9.74753576 11.46177602 9.57093890 6.82553592 0.00425178 -0.01285146 1989 9.76334286 11.50261638 9.57515282 6.89335814 0.00433028 -0.00880928 1990 9.77706454 11.46456071 9.58964445 6.80491806 0.02226773 0.00667906 1991 9.77099949 11.48215968 9.58793125 6.88500439 0.01142534 -0.00873512 1992 9.78135831 11.47730982 9.61583603 6.82278777 0.00755046 -0.00916206 1993 9.79438190 11.49024965 9.61962127 6.82025596 0.01420177 0.00162296 1994 9.81285964 11.48450210 9.63103096 6.79504516 0.02808927 0.01566065 1995 9.82678530 11.55479025 9.64187744 6.98453368 0.01290794 -0.00265421 1996 9.84165160 11.61151358 9.64974067 6.98562346 0.00478908 0.00672837 1997 9.85959363 11.69983110 9.66440526 7.04828795 -0.01442922 0.00648449 1998 9.88599398 11.77541861 9.69896883 7.06501688 -0.03231087 0.00721349 1999 9.91205604 11.87229870 9.72220859 7.16428469 -0.05106682 0.00446061 2000 9.93967545 11.82027417 9.74835661 6.85097934 -0.02127634 0.05544718 2001 9.95309541 11.76597400 9.77845803 6.89246852 -0.00718300 0.04297624