Stephen J. Fisher, "Asset Trading, Transaction Costs and the Equity
Premium", Journal of Applied Econometrics, Vol. 9, Supplement, 1994,
pp. S71-S94. 

The dataset in data.sf contains the following variables, in the order 
indicated:

DATE     Date corresponding to the end of the stated year.

PRICEIND Spliced NYSE price appreciation index.  Dow Jones Industrial
         and Transportation indices from 1900-1938 spliced with the 
         NYSE composite index from 1939-1985.

PREMIUM  Annual US equity premium defined as US equity return less
         the return to cash-like investments. Data are provided by
         Schwert and detailed in Schwert (1989).

USVEL2   NYSE turnover rate defined as #of shares traded divided by
         total # of shares on issue.  Source New York Stock Exchange
         Fact Book and the Standard and Poor's Statistical Service.

GROWTH   US growth in industrial production.  Source Federal Reserve
         Board Index of Industrial Production and Babson's industrial
         output index in Moore (1961).