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Rapach, Zhou, Strauss, 2010. Quarterly equity premium.

AfterMathTT

Joined
6/17/17
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I have got "exact" graphs for equity premium forecasts, div (cummulative errors), but R^2 statistics dont match.

How quarterly equity premium is calculated using Goyal, Welch data provided in their website? They give quarterly Rfree, Quarterly Indexes and D12 (D3 is not provided, but probably can be calculated from Robert Schillers website)?

For annual equity premium analysis, the following is used for the linear regression

LN(P(t)+D(t))-LN(P(t-1)-LN(Rfree+1).

Tnx
 
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