Min Wei and Jonathan H. Wright, "Reverse Regressions and Long-Horizon 
Forecasting", Journal of Applied Econometrics, Vol. 28, No. 3, 2013, 
pp. 353-371.

The data are in in two text files.

The first file, bond-yields.txt, gives the Fama-Bliss zero coupon yields at
maturities 1 month, 1 year, 2 years, 3 years, 4 years and 5 years, at the
monthly frequency from 196401 to 200912 for a total of 552 observations per
variable (Source: CRSP).

The second file, stock-returns.txt, gives the log dividend yield, the one
month riskfree interest rate, and continuously compounded excess stock
returns, at the monthly frequency from 195301 to 200912 for a total of 684
observations per variable (Source: CRSP).

Both files are ASCII files in DOS format. They are zipped in the file
ww-data.zip. Unix/Linux users should use "unzip -a".