Nathan Balke and Mark Wohar, "Market Fundamentals vs Rational Bubbles in
Stock Prices: A Bayesian Perspective", Journal of Applied Econometrics,
Vol. 24, No. 1, 2009, pp. 35-75.

There are two data files, SP500-data.dat and NASDAQ-data.txt. Each of these
is an ASCII file in DOS format. They are zipped in the file bw-data.zip.
Unix users should use "unzip -a".

SP500-data.dat has four columns, each containing a single data series.  The
data series in the file are:

  Column 1: log(price/dividend ratio) 
  Column 2: growth rate of dividends
  Column 3: log(price/earnings ratio)
  Column 4: growth rate of earnings

These are all for the S&P 500 Index.  The data are quarterly, and the span of
observations in the data file runs from 1947:1 to 2005:2.  The sample period
used in estimation was from 1952:1 to 2005:2.  The data were demeaned and
scaled by 100 prior to estimation.

NASDAQ-data.txt has two columns, each containing a single data series.  The
data series on the file are:

  Column 1: log(price/dividend ratio) 
  Column 2: growth rate of dividends

The NASDAQ index is value weighted.  The underlying dividend series is a
four-quarter moving average of the raw dividend series.  The data are
quarterly, and the span of observations in the data file runs from 1974:1 to
2003:4. The sample period used in estimation was from 1974:1 to 2003:4. The
data were demeaned and scaled by 100 prior to estimation.