Jeffrey Dominitz and Charles F. Manski, "Measuring and Interpreting
Expectations of Equity Returns", Journal of Applied Econometrics,
Vol. 26, No. 3, 2011, pp. 352-370.

The two datasets used in this study are both in the public domain, with
documentation available.

The Michigan Survey of Consumers is available from the Survey Research 
Center, University of Michigan at http://www.sca.isr.umich.edu/.  The 
Michigan website does not provide an accessible codebook.  Hence, we 
provide it in the file Michigan_codebook.pdf.

The Survey of Economic Expectations is available from the National 
Bureau of Economic Research at http://www.nber.org/see/ The codebook 
explaining the variable names used in the datafile is available at 
http://www.nber.org/see/codebook1to15.pdf. It is also made available 
here as SEE-codebook.pdf.

The data that were used are also contained in two comma-delimited ASCII
files in DOS format, MichSCdata.csv and SEEdata.csv. These two files are
zipped in the file dm-data.zip. Unix/Linux users should use "unzip -a".