Damodaran’s Implied ERP and U.S. Stock Returns (2008–2026)

It contains 214 monthly forecast observations from September 2008 to June 2026 and 71 quarterly forecast observations from October 2008 to April 2026, with realized-return coverage ending on 30 June 2026. The data include S&P 500 total returns, compounded risk-free returns and excess returns at three-, six- and twelve-month horizons, together with twelve-month Fama–French market excess returns.

Financial predictors include VIX, the Treasury term spread, the corporate credit spread, inflation, economic policy uncertainty, Shiller CAPE, earnings yield and dividend yield. Stock and risk-free returns are compounded separately before excess returns are calculated. Forecast origins and observed return-window dates are recorded explicitly, and incomplete outcomes are left blank.