The structure of the UKreturns.txt file is as follows:
Column 1 -- Date (format:MMM-YY), 1976:02 - 2000:12;
Column 2 -- Annualized dividend yield (see paper for definition);
Column 3 -- Excess Equity returns on FTSE All Share Index;
Column 4 -- Excess returns on Long-term Bonds (15-year government bonds);
Column 5 -- Annualized yield on 1-month T-bills.
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UKreturns.txt
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