@ Data used in @ @ Martin Lettau and Sydney Ludvigson "Consumption, Aggregat Wealth and Expected Stock Returns" @ @ and @ @ Martin Lettau and Sydney Ludvigson "Resurrecting the (C)CAPM: A Cross-Sectional Test When @ @ Risk Premia Are Time-Varying" @ @ @ @ See papers for a detailed description of the data. Variables are in natural logs. Missing @ @ values are denoted as -99. @ @ date: 9/16/99 @ @ ****** IMPORTANT ******** @ @ The wealth variable is measured at the BEGINNING OF PERIOD, e.g. the observation @ @ in 1953Q1 is wealth as of January 1 1953! @ @ This convention is different from the standard timing convention used to compute @ @ dividend-price ratios, which uses END OF PERIOD variables. @ @ Quarter consumption c asset wealth a labor income y cay= c-0.3054a-0.5891y @ 195204 8.9092682314647 10.519135280607 8.6478716136965 0.6025443217329 195301 8.9190211651377 10.514866068861 8.6590052865672 0.6070424622986 195302 8.9216954494499 10.514075560456 8.6712116222793 0.6027677020382 195303 8.9176445102346 10.508471202189 8.6660883865141 0.6034462698799 195304 8.9115910898491 10.509049666593 8.6532306635098 0.6047903674741 195401 8.9161140432082 10.513539628024 8.6427560915872 0.6141124379485 195402 8.9196745987021 10.519483096382 8.6392874104618 0.6179012171859 195403 8.9316583176898 10.533533384758 8.6438204599736 0.6229237662537 195404 8.9395490820492 10.559806246390 8.6626370300675 0.6117065929030 195501 8.9455811187084 10.568977133823 8.6702431746808 0.6104573074786 195502 8.9524587607409 10.575232666101 8.6930672283935 0.6019794502466 195503 8.9583007328529 10.597033227224 8.7092507170750 0.5916303789161 195504 8.9732552310170 10.614699470890 8.7190327773571 0.5954273532968 195601 8.9805717307003 10.621679208112 8.7250316171948 0.5970785174897 195602 8.9800549200804 10.641328829985 8.7316718668172 0.5866492388503 195603 8.9806643711249 10.636046453809 8.7297187996520 0.5900223954353 195604 8.9877531887537 10.630353443553 8.7408815688849 0.5922740980048 195701 8.9898445910021 10.641299485324 8.7396423143346 0.5917526715306 195702 8.9928937193804 10.632801278771 8.7407165936851 0.5967642599700 195703 8.9979935586748 10.643092664000 8.7395962199387 0.5993811681937 195704 8.9990465316439 10.624242544747 8.7317276288382 0.6108260332930 195801 8.9902140833433 10.619470024914 8.7090687921656 0.6167988573158 195802 8.9975762456075 10.623559380684 8.7105918331795 0.6220149721684 195803 9.0076775301477 10.632970766632 8.7336394208825 0.6156653034766 195804 9.0109704227687 10.659853977185 8.7448781538297 0.6041277846535 195901 9.0193991250897 10.673044063923 8.7518458999753 0.6044237950426 195902 9.0266938829832 10.671225215474 8.7676007943254 0.6029931851831 195903 9.0338972852280 10.679428057832 8.7607422036114 0.6117317289093 195904 9.0395354725211 10.676021271169 8.7626312009479 0.6172975616854 196001 9.0372623591217 10.685412231315 8.7692346903002 0.6082665577686 196002 9.0443304198378 10.678275816382 8.7704618200142 0.6167911565023 196003 9.0376478876187 10.678636546883 8.7661348094310 0.6125473981196 196004 9.0390353083914 10.663119549899 8.7586267842051 0.6230963982718 196101 9.0432401789006 10.684208068625 8.7606046730389 0.6196958569825 196102 9.0535640436339 10.706446717727 8.7735708270358 0.6155901441651 196103 9.0514658624043 10.711834832508 8.7828894049850 0.6063571194302 196104 9.0618854069152 10.721641276354 8.7969826524341 0.6054798503740 196201 9.0677008942936 10.743504007448 8.8057605760950 0.5994477491727 196202 9.0740050109745 10.743409060259 8.8129403828876 0.6015514096917 196203 9.0788219994859 10.684124283202 8.8145213339992 0.6235422503382 196204 9.0839346385653 10.696519181136 8.8171581345982 0.6233162989144 196301 9.0860410661833 10.742163766295 8.8235684832967 0.6077070092776 196302 9.0904410662241 10.757238001197 8.8293642392790 0.6040893031902 196303 9.0996308997245 10.766144027568 8.8355924327643 0.6068904193406 196304 9.1045609820803 10.775279410791 8.8483814499524 0.6014969161440 196401 9.1161658629001 10.764977415846 8.8661047208929 0.6058075987494 196402 9.1283091161006 10.776794512165 8.8889938106565 0.6008585790882 196403 9.1405586701129 10.791734468440 8.8988134617468 0.6027610544038 196404 9.1451640896375 10.802574607553 8.9066640447549 0.5994313813513 196501 9.1538799650811 10.813479617324 8.9145307080222 0.6001828806804 196502 9.1654588013995 10.823701619048 8.9209752838037 0.6048436444290 196503 9.1752358588929 10.812164820470 8.9473443154970 0.6026105932646 196504 9.1968776124875 10.835501174390 8.9651497886154 0.6066368109166 196601 9.2024108220855 10.860764426071 8.9669459570569 0.6033967218627 196602 9.2109097302903 10.849617806195 8.9761277496066 0.6098909548633 196603 9.2152248100508 10.850631735304 8.9895197785140 0.6060074640801 196604 9.2174522086562 10.822563286898 9.0019816034746 0.6094658059151 196701 9.2266445142062 10.846550285534 9.0130593168703 0.6048070354695 196702 9.2328248161574 10.880749259167 9.0182290641981 0.5974978377449 196703 9.2374262828071 10.885187999412 9.0236708016279 0.5975381471484 196704 9.2421698997398 10.901408706064 9.0338845141380 0.5913114211043 196801 9.2561329028869 10.916157990907 9.0505767205757 0.5909371173752 196802 9.2689347637879 10.902338242566 9.0683199157848 0.5975073402178 196803 9.2802395768132 10.936849155352 9.0707773670638 0.5968251382463 196804 9.2852834444995 10.941480965040 9.0784563730528 0.5959309652719 196901 9.2932292717614 10.981751803892 9.0791268802787 0.5911833827369 196902 9.2991893364153 10.975630474460 9.0881253867856 0.5937120533653 196903 9.3028141951045 10.961843434576 9.1088409917684 0.5893443095983 196904 9.3114060499318 10.951516180259 9.1152846255862 0.5972942445441 197001 9.3210539404851 10.942185708847 9.1187515153961 0.6077493334095 197002 9.3225439506253 10.931444077977 9.1384212549702 0.6009327889531 197003 9.3294675256493 10.894112391414 9.1429299976892 0.6166012052039 197004 9.3325495355025 10.911277521913 9.1351929778727 0.6189987985409 197101 9.3350699757276 10.928787461596 9.1505083840559 0.6071498874626 197102 9.3371391829649 10.959066227838 9.1645334056962 0.5917103685163 197103 9.3383994728013 10.956997006727 9.1649846196261 0.5933367845513 197104 9.3469421777345 10.959231259341 9.1688274970339 0.5989334173831 197201 9.3565905440802 10.979791148869 9.1765309631759 0.5977650109823 197202 9.3704558379928 11.005726862262 9.1875837439613 0.5971987923666 197203 9.3792845609960 11.007694162548 9.1985382342423 0.5989736876680 197204 9.3937946460341 11.019849693564 9.2300180493944 0.5912275535321 197301 9.3993701753757 11.070675143417 9.2432598622136 0.5734809140656 197302 9.3992586300023 11.060209905761 9.2482299263584 0.5736376325797 197303 9.4042494261919 11.042461876871 9.2500796510606 0.5829589230061 197304 9.4025133491050 11.067014967629 9.2548127332311 0.5709363598068 197401 9.3947374461137 11.030560223483 9.2430077593579 0.5812475060613 197402 9.3968234738908 11.009944239725 9.2408223718403 0.5909168693011 197403 9.3986742889039 10.969248194164 9.2428675449008 0.6039912069710 197404 9.3973164691060 10.924563324003 9.2345409961505 0.6211848018339 197501 9.3995626873951 10.920293618722 9.2291751356236 0.6278958580162 197502 9.4120140110569 10.958841267602 9.2742069121860 0.6020478597718 197503 9.4148124337931 10.993944686671 9.2562222340571 0.6047202895117 197504 9.4197421407782 10.965646008318 9.2651445535810 0.6130362882775 197601 9.4339053007256 10.972808535808 9.2815597063569 0.6153422891946 197602 9.4421571384379 10.998588438783 9.2862606375683 0.6129519203604 197603 9.4492946554372 11.018650156066 9.2922246263981 0.6104494873594 197604 9.4593457758656 11.021166370352 9.2945623335325 0.6183550863693 197701 9.4649360468074 11.029749911248 9.2910743506279 0.6233786917457 197702 9.4636435625742 11.026512263488 9.3026045022079 0.6162828259229 197703 9.4690249058641 11.036220236620 9.3152365998386 0.6112581562986 197704 9.4770885593646 11.036935621181 9.3251639537188 0.6132553697999 197801 9.4852371246011 11.040179593877 9.3300574773664 0.6175305909893 197802 9.4932439501086 11.043026011364 9.3388516100897 0.6194877275433 197803 9.4980946702319 11.058642993663 9.3439376088970 0.6165730912795 197804 9.5015875281595 11.074742939602 9.3514675238541 0.6107134466133 197901 9.5086347707019 11.075500869633 9.3532654119581 0.6164701298149 197902 9.5076764866751 11.093727584998 9.3483255471595 0.6128554916611 197903 9.5084726064994 11.100743967646 9.3523143048813 0.6091591760121 197904 9.5143529020492 11.110465522760 9.3517437401385 0.6124066832607 198001 9.5133072710081 11.113125990442 9.3505593846451 0.6112462396405 198002 9.5007101884132 11.097678014153 9.3360526086272 0.6119124545983 198003 9.5018193378660 11.114242032664 9.3448314401225 0.6027916701229 198004 9.5076478877438 11.133167109267 9.3536100069566 0.5976693914963 198101 9.5039162447151 11.138160762725 9.3465115602564 0.5965942470169 198102 9.5077438131941 11.128497279350 9.3415436142104 0.6062994732622 198103 9.5047776645374 11.135855707503 9.3479221514988 0.5973286688949 198104 9.5041219336547 11.117371203948 9.3467463191514 0.6030106296693 198201 9.5042779881790 11.129841625875 9.3421317796545 0.6020766201162 198202 9.5061067334653 11.124726391870 9.3454734653140 0.6034990147217 198203 9.5083826050830 11.122647189065 9.3490253270401 0.6043175434611 198204 9.5177462061819 11.128753328831 9.3492884639901 0.6116613648801 198301 9.5237334750987 11.143546712290 9.3508394755130 0.6122171750987 198302 9.5331622264269 11.163566734347 9.3566248758410 0.6121239120671 198303 9.5420615109240 11.178523533296 9.3648153623503 0.6116306761014 198304 9.5490729163724 11.176041146701 9.3769850324182 0.6122313234926 198401 9.5529499448889 11.168069628893 9.3888907113043 0.6115294467808 198402 9.5608637371003 11.163789756335 9.3997323619990 0.6143637248971 198403 9.5673533591777 11.164810670715 9.4065037017626 0.6165527327147 198404 9.5740017023263 11.185506785088 9.4105956594573 0.6144701542106 198501 9.5837312973963 11.197400458364 9.4098675687213 0.6209964062122 198502 9.5894404924686 11.214743632196 9.4268292683142 0.6114173870449 198503 9.5968511433272 11.229300506716 9.4230679379757 0.6165981808290 198504 9.6037099047072 11.229784718418 9.4281210917629 0.6203323754014 198601 9.6075801356072 11.261408620048 9.4361053876875 0.6098415322217 198602 9.6106356835267 11.291853816330 9.4429744293325 0.5995529439652 198603 9.6139114659678 11.311527131226 9.4466735593406 0.5946415658864 198604 9.6215138158035 11.301543587023 9.4501685576788 0.6032339997949 198701 9.6299356873827 11.324515059111 9.4585078458315 0.5997280707990 198702 9.6369061283267 11.361156035423 9.4486572918722 0.6013113417211 198703 9.6395249594638 11.363338872290 9.4591483067089 0.5970835440986 198704 9.6437574764663 11.373351319889 9.4684360992416 0.5927871139343 198801 9.6544595576610 11.334363409016 9.4816540849850 0.6076094289270 198802 9.6610724268071 11.353223547798 9.4841127647344 0.6070141953632 198803 9.6686454854755 11.361380135914 9.4865524549290 0.6106591264637 198804 9.6734247263996 11.359914797639 9.4887751271844 0.6145765483221 198901 9.6736278185811 11.370881187022 9.4874549980335 0.6122082390555 198902 9.6721838950512 11.380062340122 9.4785489712905 0.6132067833772 198903 9.6753630642173 11.394552850474 9.4853854766629 0.6079334312141 198904 9.6810696147888 11.410023847968 9.4898632626355 0.6062774917543 199001 9.6836849569503 11.408419302506 9.4992275522232 0.6038665718763 199002 9.6891015258318 11.395462362274 9.5010232475164 0.6121822977560 199003 9.6915868894963 11.391160053310 9.4983935542443 0.6175306455974 199004 9.6842287947139 11.355802030006 9.4909541093924 0.6253530405778 199101 9.6780778325982 11.363045461982 9.4902527359711 0.6174031477441 199102 9.6809617232761 11.385137282950 9.4965648899713 0.6098220133105 199103 9.6792158813042 11.377001409544 9.4968948711728 0.6103664256413 199104 9.6763748915835 11.380398361375 9.4990321518189 0.6052290099183 199201 9.6863512808146 11.392271696339 9.5144656685642 0.6024878510498 199202 9.6878187293677 11.391769557418 9.5201334601399 0.6007698889037 199203 9.6890690097150 11.379143807657 9.5225128894286 0.6044743192887 199204 9.6974052131407 11.380894922049 9.5379712274325 0.6031696077462 199301 9.6971525243664 11.393506170445 9.5102661928474 0.6153859055685 199302 9.6993147893663 11.395562986518 9.5295563182859 0.6055566821834 199303 9.7049852124369 11.392092719759 9.5334346147969 0.6100022885720 199304 9.7070290851687 11.400850078337 9.5436956830990 0.6033271760039 199401 9.7127954572033 11.406090594174 9.5278360162008 0.6168356817152 199402 9.7180676972344 11.400435154001 9.5396337707030 0.6168852784221 199403 9.7194580010812 11.390290001829 9.5420583282841 0.6199455913088 199404 9.7210573273035 11.395254089545 9.5486795025120 0.6161285448809 199501 9.7245941606026 11.395959242334 9.5550612575445 0.6156906903243 199502 9.7298013661874 11.418753863508 9.5526489583440 0.6153576071716 199503 9.7311371648569 11.434913262009 9.5576380310529 0.6088194962182 199504 9.7335703774120 11.455236347224 9.5601302728742 0.6035780619321 199601 9.7393854269084 11.468229607773 9.5609136928160 0.6049635673968 199602 9.7447863829662 11.486316261044 9.5641319923227 0.6029451639415 199603 9.7479083434457 11.492784841757 9.5716075906389 0.5996879694417 199604 9.7515979029720 11.499902961959 9.5739268704998 0.5998374730197 199701 9.7569018506641 11.520711849856 9.5817763094598 0.5941626165263 199702 9.7608123988181 11.522098428069 9.5874384106387 0.5943143051714 199703 9.7692143361694 11.569337319187 9.5925206707842 0.5852959806618 199704 9.7739103338045 11.600833962762 9.6003523919531 0.5757596460668 199801 9.7813621886395 11.607940034710 9.6112913893339 0.5745974550900 199802 9.7923760374703 11.656777929290 9.6162611870980 0.5677689665827 199803 9.8015335793936 11.661755312264 9.6227294837869 0.5715961320777 199804 -99 11.616370746825 -99 -99