Xiaohong Chen and Sydney Ludvigson, "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models", Journal of Applied Econometrics, Vol. 24, No. 7, 2009, pp. 1057-1093. All data are in the file ChenLudvigsonData.csv, which is an ASCII file in DOS format. It is zipped in the file cl-data.zip. Unix/Linux users should use "unzip -a". Data from 1951.04 - 2001.04 spex : Excess return on S&P500 (FedBOG and author's calculations) rrel : Relative bill rate (FedBOG and author's calculations) trm : Term premium (FedBOG and author's calculations) cay : Proxy for (log) Consumption aggregate wealth labor ratio (BEA and author's calculations) rpcconsexcl : Real per capita consumption on nondurables and services, excluding shoes and clothing (BEA and author's calculations) pdndsm : Implicit price deflator for nondurables and services less shoes and clothing, 1996=100 (BEA and author's calculations) rptotw : Real per capita total wealth (NYFed and author's calculations) rpnyd : Real per capita labor income (BEA and author's calculations) Ret 1 - Ret 7 : Returns on portfolios as used in the paper. Ret 1 is return on T-bill (From Kenneth French's homepage http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html)