Dataframe: P01:shiller_processed_annual_series - Robert Shiller Annual Stock Market Data

Overview

• File: _data/processed_data/shiller_data_annual.parquet

• Source: Derived from shiller_market_variables, itself pulled from Robert Shiller’s data website

• Generated by: pull_shiller.py

• Frequency: Annual (year-end / December value of each year)

• Index: date

This file documents the columns found in shiller_data_annual.parquet, generated by process_shiller_annual from the raw monthly series pulled by pull_shiller.py.

Column Dictionary

Column	Description
sp500_price	S&P Composite nominal price index, year-end (December) value.
dividend	S&P Composite nominal dividend, year-end (December) value.
pe10	Shiller’s cyclically adjusted price-earnings ratio (CAPE / P/E10), year-end (December) value.
ln_pe10	Natural log of pe10. Used as ln[P/E10]_{t-2}, the first-step stock-return predictor in Lopez-Salido, Stein, and Zakrajsek (2017).

DataFrame Glimpse

Rows: 97
Columns: 5
$ sp500_price          <f64> 6853.025454545453
$ dividend             <f64> 79.52
$ pe10                 <f64> 39.58164099324255
$ ln_pe10              <f64> 3.6783653994777437
$ date        <datetime[ns]> 2025-12-31 00:00:00

Dataframe Manifest

Dataframe Name	Robert Shiller Annual Stock Market Data
Dataframe ID	shiller_processed_annual_series
Sources	Robert Shiller’s Data Website
Providers	Robert Shiller
Provider Links	https://shillerdata.com/
Tags	Processed Data, Stock Market, Shiller
Access Types	Public
How is data pulled?	Derived from shiller_market_variables via process_shiller_annual in pull_shiller.py
Data available up to (min)	2025-12-31 00:00:00
Data available up to (max)	2025-12-31 00:00:00
Dataframe Path	C:\Users\fraff\OneDrive\Documentos\UChicago\FINM_32900_Full_Stack_Quantitative_Finance\Project\p03_lopez_salido_stein_zakrajsek_2017_data\processed_data\shiller_data_annual.parquet

Linked Charts:

• P01:summary_statistics_cape

Pipeline Manifest

Pipeline Name	Credit-Market Sentiment and the Business Cycle
Pipeline ID	P01
Maintainer	Fernando Raffo, Bangjie Xu
Contributors	Fernando Raffo, Bangjie Xu
Repository	fernando-raffo/p03_lopez_salido_stein_zakrajsek_2017
Pipeline Web Page	Pipeline Web Page
Date of Last Code Update	2026-08-19 22:04:54
OS Compatibility	Windows, Linux, MacOS
Linked Dataframes	P01:fred_macroeconomic_variables P01:shiller_market_variables P01:greenwood_hanson_hys P01:mergent_fisd_bond_data P01:fred_processed_monthly_series P01:fred_processed_annual_series P01:shiller_processed_annual_series P01:greenwood_hanson_hys_processed_series