Dividend-Inclusive and Ex-Dividend CRSP Equity Returns

Summary

The note clarifies two return series used in research on equity premium prediction. CRSP_SPvw includes dividends, while CRSP_SPvwx excludes them. The distinction matters when selecting a market return series: the dividend-inclusive measure reflects both price changes and distributions, whereas the ex-dividend measure isolates returns without dividend income.

The document gives a direct definition but does not describe how either series is constructed, provide empirical comparisons, or discuss which measure is preferable for a particular model. Researchers should check that the return definition matches the outcome variable and assumptions in their analysis, especially when comparing results across studies or datasets.

Key ideas

• CRSP_SPvw includes dividend income in its return measure.
• CRSP_SPvwx excludes dividends from the return measure.
• The selected series should match the return definition required by the analysis.

Tags

# Answer by Gogo78 (score 1, accepted)


# Question is about the data in the paper: "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction"












I would like to ask a question if you download the data from the Amit Goyal website: http://www.hec.unil.ch/agoyal/

You will see that there are two columns "CRSP_SPvw" "CRSP_SPvwx", they are represent the equity premium. But what is the difference?

Thank you in advance.

## Answer by Gogo78 (score 1, accepted)

https://quant.stackexchange.com/a/50604

CRSP_SPvw includes dividends and CRSP_SPvwx excluding dividends.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.