Data
Appendixes
Internet Appendix to “Can Rare Events Explain the Equity Premium Puzzle?”
Data
Investors’ Beliefs Data: Time series of the mean, volatility, and skewness of consumption growth and the aggregate stock market return, as perceived by the average investor in the stock market over 1947:Q2—2013:Q4. Please refer to “Identifying Beliefs From Asset Prices” for details of the recovery of the beliefs.
Cross-sectional moments of household consumption growth data: Time series of the mean, volatility, and skewness of the cross sectional distribution of household consumption growth, over 1980:Q1—2009:Q4. Please refer to “Asset Pricing With Countercyclical Household Consumption Risk” for details of data construction.
Code
Coming soon!