Data for expected equity and bond risk premiums by credit ratings constructed in "Expected returns, yield spreads, and asset pricing tests" (with Campello and Chen) forthcoming in Review of Financial Studies

We provide monthly time series (from January 1974 to March 1998) for expected equity and bond risk premiums in percent per annum for five credit rating categories (AAA/AA = 1, A = 2, BBB = 3, BB = 4, B = 5). The expected equity and bond risk premiums are constructed using the methods developed in Campello, Chen, and Zhang (2007).

Data for five Chen, Roll, and Ross (1986) factors and momentum portfolio returns used in "Momentum profits, factor pricing, and macroeconomic risk" (with Liu) forthcoming in Review of Financial Studies

We provide monthly time series observations for five Chen, Roll, and Ross (1986) factors from January 1960 to December 2004. See Section 2 of our paper for detailed construction of these factors. We also provide monthly returns for ten 6/1/6-momentum deciles from January 1960 to December 2004. Following Jegadeesh and Titman (1993), we construct the 6/1/6-momentum portfolios at each month t by sorting stocks on their prior returns from month t-2 to t-7 (skipping month t-1). Equal-weighted portfolio returns are calculated for the subsequent six months from month t to t+5. And the portfolios are rebalanced monthly.

Data for aggregate conditioning variables used in "Is value riskier than growth?" (with Petkova) published in Journal of Financial Economics, 2005, 78, 187-202

We provide monthly time series observations of default premium, term premium, short-term interest rate, and dividend yield from January 1927 to December 2006. See Section 3.1 of our paper for detailed descriptions of these variables.

Matlab and Fortran 90 programs used in "The value premium" published in Journal of Finance, 2005, 60 (1), 67-103

The programs implement the Krusell and Smith (1998) algorithm of approximate aggregation in an industry equilibrium framework. A similar algorithm is likely to be useful for constructing general equilibrium models with the cross section of firms. I have spent much time on debugging, but I cannot guarantee that the programs are free of bugs. I assume no responsibility if your use of these programs causes any damage on your part. If you find any bugs, I would appreciate if you can kindly drop me a note at zhanglu@bus.umich.edu. These programs are free for you to modify in whichever way you want to fit your specific applications.

Matlab programs used in "Equilibrium cross section of returns" (with Gomes and Kogan) published in Journal of Political Economy, 111 (4), 693-732