2026-10-15T12:56:56Z https://data.mendeley.com/oai

oai:data.mendeley.com/ptfxwvkxpd.1 2026-09-12T00:46:41Z

BONELLI, marco Damodaran’s Implied ERP and U.S. Stock Returns (2008–2026) Mendeley Data This dataset combines Damodaran’s implied U.S. equity risk premium (ERP), subsequent stock returns and financial indicators to support research on equity-premium predictability. It contains 214 monthly forecast observations from September 2008 to June 2026 and 71 quarterly forecast observations from October 2008 to April 2026, with realized-return coverage ending on 30 June 2026. The data include S&P 500 total returns, compounded risk-free returns and excess returns at three-, six- and twelve-month horizons, together with twelve-month Fama–French market excess returns. Financial predictors include VIX, the Treasury term spread, the corporate credit spread, inflation, economic policy uncertainty, Shiller CAPE, earnings yield and dividend yield. Stock and risk-free returns are compounded separately before excess returns are calculated. Forecast origins and observed return-window dates are recorded explicitly, and incomplete outcomes are left blank. The twelve-month estimation samples contain 68 quarterly and 203 monthly observations, with July 2025 as the last forecast origin having a complete twelve-month outcome. The Excel workbook contains four worksheets: Read me, Quarterly data, Monthly data, and Variables. Sources include Damodaran’s data archive, the S&P 500 Total Return Index distributed through Yahoo Finance, the Kenneth French Data Library, FRED and Multpl. Variable definitions, units, source links and timing conventions are documented within the workbook. Controls use specified publication lags applied to historical series; they are not archived real-time vintages. Finance Stock Exchange Dataset doi:10.17632/ptfxwvkxpd.1 oai:data.mendeley.com/ptfxwvkxpd.1 Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 https://data.mendeley.com/datasets/ptfxwvkxpd 2026-09-12T00:46:41Z