Data Request.

[doughishere]

I dont have access to a Bloomberg machine or any fancy hedge fund data so this is kinda a grasp for me right now......but....

 

Does anyone have data on the S&P 500 PE Price Index , S&P 500 Earnings and the yield from high grade corporate bonds as far back as possible...annual data points or semi-annual(mean or weighted mean would probably be better). Dec. 31 2015 to as far back as possible would be sweet. Also, raw numbers on these three would be the best I dont want charts because i want to make my own chart.

 

After Ive decided my hypothesis is true or not Ill share why I asked it publicly.....its nothing trade able im just shy at releasing my conclusions before ive drawn them. Exception will be made for someone who can genuinely help me...ill privately tell you why im looking for it.

 

 

PM me if you are willing to share.

 

 

Edit: Dividend info would for the above would be appreciated also.

[Vish_ram]

CAPE ratio link has S&P data going back 100 years, along with treasury yields

 

http://www.econ.yale.edu/~shiller/data.htm

 

 

[racemize]

I've got a spreadsheet of all of that data from Shiller that I used to backtest quite a few things.  I wrote an essay about it, but am happy to discuss if that is along the lines of what you are thinking.

[doughishere]

Whats the point in Cyclically adjusting the PE ratio? I guess smoothing of earnings is nice but we all know that firms attempt to do that anyways.  I really want just the raw untouched data.

 

Doesn't anyone just add up the earnings for the S&P? Add up the price for the purchase of all 500 companies on the S&P? and divide.....I guess the CAPE works...this doesnt have to be hugely accurate. Thanks!

[racemize]

Whats the point in Cyclically adjusting the PE ratio? I guess smoothing of earnings is nice but we all know that firms attempt to do that anyways.  I really want just the raw untouched data.

 

Doesn't anyone just add up the earnings for the S&P? Add up the price for the purchase of all 500 companies on the S&P? and divide.....I guess the CAPE works...this doesnt have to be hugely accurate. Thanks!

 

He has the data of the underlying there, and I mentioned I have that data (which is also from him) as well.  FYI, Ben Graham had a CAPE-type ratio and CAPE has been Shiller's baby, so it isn't too surprising that's what he's making.

[jb85]

along similar lines, anyone have by month (1st of every month), forward P/E ratio for sp500?  Going back as far as possible.  I've seen a few graphs online that go back to the 80s, but would be nice to have the by month data instead of trying to eyeball it. 

[racemize]

That is also in the Shiller data.  I'm a little confused here, as the same data has been pointed to several times.

 

Here's the link:

http://www.econ.yale.edu/~shiller/data/ie_data.xls

 

Edit: well it has the S&P Earnings at the time, every month, so not forward P/E.  Not sure how you can get that really, as I'm not sure they had forward P/Es all the way back to 1871 anyhow.  Maybe you want a newer set.

[jb85]

Yeah, want forward P/Es not regular P/Es.  From what i've seen the data set prob goes back to about 1980 at the earliest (were there even forward estimates in 1950s and 60s????)

 

here are some of the graphs i've found, but again, have to eyeball it to get the by month data.  not a huge issue, just a nice to have if someone has freetime and access to a bloomberg or S&P Capital IQ/compustat account

 

http://www.factset.com/insight/2015/02/earningsinsight_2.20.15#.VzNadPkrKiM

 

http://www.nvretirementplanners.com/wp-content/uploads/2015/05/may6th_1.png