Dividends And Stock Valuation: A Study From The Nineteenth To The Twenty-First Century Page 34
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45Table 2: Summary Statistics for Economic Factors, 1867-1992
The economic factors are the default premium (defulev), the term structure of interest rates (tsulev), changes
in the consumer price index or, equivalently, the inflation rate (d_cpius), a momentum factor for the price of
the S&P Index over the past 5 years (mom5_us) and the P/E multiple for US firms (us_PE).
Variable
Mean
Std dev
min
max
defulev
1.0248
0.60932
-0.08
3.276
Tsulev
-0.44347
1.61286
-4.8767
2.93
d_cpius
0.02287
0.05089
-0.10825
0.20438
mom5_us
0.41683
0.3654
-0.6736
1.29019
us_PE
13.97814
4.18191
5.633
26.563
Table 3: Pair-wise Correlations for Economic Factors, 1867-1992
defulev
tsulev
d_cpius
mom5_us
us_PE
defulev
1
-0.54999
-0.28763
-0.18686
-0.10525
Tsulev
-0.54999
1
0.11828
0.06551
0.11069
d_cpius
-0.28763
0.11828
1
0.10775
-0.24164
mom5_us
-0.18686
0.06551
0.10775
1
-0.04767
us_PE
-0.10525
0.11069
-0.24164
-0.04767
1
32
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