S&P 500 historical earnings yield or P/E ratio
Posted: 26 September 2015 11:16 AM   [ Ignore ]
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Hi,

I can’t believe I’ve just spent 1h looking for the historical S&P 500 earnings yield - unsuccessfully. Would someone be so kind as to point me towards the right direction?

Earnings yield = earnings per share (EPS) / market price per share, i.e. the inverse of the P/E ratio.

It doesn’t seem to be here, which is where I would have expected to find it:
https://wrds-web.wharton.upenn.edu/wrds/ds/crsp/indexes_a/sp500/sp500.cfm

Thanks a lot in advance
Ferdinand

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Posted: 26 September 2015 03:35 PM   [ Ignore ]   [ # 1 ]
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hi fber123,

I wouldn’t know of a dataset that readily has the data you need, but in this thread I’ve posted some directions as to how to construct this yourself, see: http://www.wrds.us/index.php/forum_wrds/viewthread/13/

In short, first get the ‘constituent history’ (which firms where part of S&P 500), and then get eps, stock price from Funda for these firm-years.

Hope this helps,

Joost

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Posted: 28 September 2015 06:46 AM   [ Ignore ]   [ # 2 ]
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Hi Joost,

thanks a lot for your reply.  Do you maybe know of any other databases where this data might be readily available to check my calculations against?

On a somewhat unrelated note: In funda, the values for variable “CONM” sometimes read “[company name] -REDH”. or “[company name] -OLD”. Do you know what those abbreviations stand for?

Thanks and have a good day.

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Posted: 28 September 2015 06:57 AM   [ Ignore ]   [ # 3 ]
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hi,

See for -redh: http://www.answers.com/Q/What_does_the_-REDH_suffix_for_companies_in_the_compustat_database_signify_eg_Vonage_Holdings_Corp-REDH

I’m not sure what -old would mean (I guess something to do with a rename or delisted). You can probably find out be looking at the SEC Edgar filing history for some of those companies.

I am not aware of datasets with e/p precomputed.

Best,

Joost

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Posted: 28 September 2015 07:12 AM   [ Ignore ]   [ # 4 ]
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Thanks for the quick reply. Apologies, apparently I need to work on my Google skills.

For anybody else who might stumble upon this thread - found some monthly S&P 500 data here:
http://www.econ.yale.edu/~shiller/data.htm

Thanks again

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Posted: 28 September 2015 07:15 AM   [ Ignore ]   [ # 5 ]
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That data is going back to 1871—pretty cool smile

Thanks for following up!

Best,

Joost

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