Brendan K. Beare and Lawrence D. W. Schmidt, "An Empirical Test of
Pricing Kernel Monotonicity", Journal of Applied Econometrics,
forthcoming, Vol. 31, No. 2, 2016, pp. 338-356.

There are three data files, which are zipped in the file bs-data.zip.
Since all files are ASCII files in DOS format, Unix/Linux users should
use "unzip -a".

The file excess_rtns.txt is of size 469 KB. Columns are divided by
",". The file contains the following variables from 7-1-1963 to
12-31-2013.

y			year
m			month
d			day
rf			daily risk-free rate
ex_rtn			daily S&P 500 excess return
sp_hi_lo		S&P 500 daily range

The file realized_vol_estimates.txt is of size 92 KB. Columns are
divided by ",". The file contains the following variables from
1-9-1997 to 12-31-2013.

y			year
m			month
d			day
realized_vol_estimate	one-month S&P 500 volatility from log-linear
                        RealGARCH(1,2) model

The file option_prices.txt is of size 808 KB. Columns are divided by
",". The file contains the following variables from 1-23-1997 to
12-18-2013.

y			year
m			month
d			day
spx_level		S&P 500 closing price
strike			strike price of option
time_to_maturity	time to maturity of option
price			bid-ask average closing price of option
volume			option trading volume
rf_opt			daily risk-free rate
put_flag		0 for calls and 1 for puts

Please refer to the paper and its appendix for more details on these
variables.