Dataframe: P04:monthly_returns -#
Key derived panel used for Table 1 and Figures 2–3. Contains strip and market log returns, the monthly risk-free rate, Treasury return adjustments, and excess-return variants under both risk-free and Treasury benchmarks.
DataFrame Glimpse#
Rows: 348
Columns: 10
$ date <datetime[ns]> 2024-12-31 00:00:00
$ strip_ret <f64> 0.4327664481665225
$ mkt_ret <f64> -0.03212699599105942
$ rf_1m_monthly <f64> 0.0037
$ treas_2y_log <f64> 0.001951095374918778
$ treas_10y_log <f64> -0.02811967827737156
$ strip_ret_rf <f64> 0.4290664481665225
$ mkt_ret_rf <f64> -0.03582699599105942
$ strip_ret_2y <f64> 0.4308153527916037
$ mkt_ret_10y <f64> -0.004007317713687862
Dataframe Manifest#
Dataframe Name |
|
|---|---|
Dataframe ID |
|
Data Sources |
Derived from strip_prices, all_strip_prices, clean_crsp_sp500_monthly, fama_french_monthly, and crsp_treasury_returns |
Data Providers |
Internal pipeline |
Links to Providers |
|
Topic Tags |
|
Type of Data Access |
|
How is data pulled? |
Constructed by calc_returns.py. |
Data available up to (min) |
2024-12-31 00:00:00 |
Data available up to (max) |
2024-12-31 00:00:00 |
Dataframe Path |
/Users/jielin/Desktop/full_stack/p04_golez_jackwerth_2024/_data/calc/monthly_returns.parquet |
Linked Charts:
Pipeline Manifest#
Pipeline Name |
Holding Period Effects in Dividend Strip Returns |
|---|---|
Pipeline ID |
|
Lead Pipeline Developer |
Jie Lin and Zimeng Yi |
Contributors |
Jie Lin, Zimeng Yi |
Git Repo URL |
|
Pipeline Web Page |
|
Date of Last Code Update |
2026-03-16 00:21:10 |
OS Compatibility |
|
Linked Dataframes |
P04:crsp_sp500_daily |