Matthijs Lof, "Expected Market Returns: SVIX, Realized Volatility, and the Role of Dividends", Journal of Applied Econometrics, Vol. 34, No. 5, 2019, pp. 858-864. All files are ASCII files in DOS format. They are zipped in the file ml-files.zip. Unix/Linux users should use "unzip -a". ml-files.zip contains the following files: SP500.csv (Daily levels of the S&P500 index. Source: Yahoo Finance) SP500TR.csv (Daily levels of the S&P500 Total Return index. Source: Yahoo Finance) VIX.csv (Daily levels of the VIX index. Source: Yahoo Finance) SVIX.csv (Daily observations of the SVIX index. Souce: Ian Martin’s website: http://personal.lse.ac.uk/martiniw/) CRSP.csv (Daily observations of the CRSP-value weighted market return. Source: Center for Research in Security Prices) RF.csv (Daily observations of the risk-free rate. Source: Kenneth French data library http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) LofJAE2019.R (R code) The R file loads the raw data, computes monthly returns and volatility measures, and calculates all results reported in the main paper and Internet Appendix. All tables are printed in Latex format. Matthijs Lof matthijs.lof [AT] aalto.fi