Readme file of MS14-442 

'Local trends in price-to-dividend ratios - assessment, predictive value and determinants'

Helmut Herwartz, Malte Rengel and Fang Xu


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S&P500 data to estimate the state space model are stored in '\data\'. 
   

Consumption series are stored in '\data\consum'


The consumption risk measure is stored in '\m-files\preparing_macro_mes\consumption_risk\measure'. 
To calculate the consumption risk measure and to compute the figure of HP-filtered consumption growth 
run '\m-files\preparing_macro_mes\consumption_risk\EXE_consumption_risk.m'


Demographic data from Barroa and Ursua (2008) are stored in '\data\macro\demographics'
   	
Note: For data from CRSP and datastream, please refer to the original data sources. 
For the measure of the share of firms paying traditional dividends, please contact Chang-Jin Kim and Cheolbeom Park directly.

   	
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To estimate the state space model where the state is specified as random walk
run '\m-files\model_estimation\PTDR.m'. To estimate the state space model where
the state is specified as autoregressive process run '\m-files\model_estimation\PTDR_ar.m'. 
Inputs for the CRSP baseline model are '1,2013' (for S&P500 data '0,2013').


Corresponding figures and Tables can be computed by running '\m-files\model_estimation\EXE_figures.m'
and '\m-files\model_estimation\EXE_tables.m', respectively.


Cross validation results and the figure of cointegration variables are calculated
by code '\m-files\macro_influence\EXE_triggers.m'.


		



















