Table 1 Variables and summary statistics...

Table 1

Variables and summary statistics

Panel A. Data, main variable definitions and source of data, 1926–2015
Variable	Definition	Source	Explanation
FAMC	$\ln (1 + (\frac{{FA}_{t}}{{MC}_{t}}))$	CRSP and FRASER	The ratio of the Fed's total assets (FA) and the market cap (MC)
ΔFA	$\ln (1 + \frac{{FA}_{t} - {FA}_{t - 1}}{{FA}_{t - 1}})$	FRASER	The change in the Fed's total assets
r_t^e	$\ln (\frac{P_{t} + D_{t}}{P_{t - 1}}) - (1 + R f_{t})$	CRSP	Excess market return

Panel A. Data, main variable definitions and source of data, 1926–2015
Variable	Definition	Source	Explanation
FAMC	$\ln (1 + (\frac{{FA}_{t}}{{MC}_{t}}))$	CRSP and FRASER	The ratio of the Fed's total assets (FA) and the market cap (MC)
ΔFA	$\ln (1 + \frac{{FA}_{t} - {FA}_{t - 1}}{{FA}_{t - 1}})$	FRASER	The change in the Fed's total assets
r_t^e	$\ln (\frac{P_{t} + D_{t}}{P_{t - 1}}) - (1 + R f_{t})$	CRSP	Excess market return

Panel B. Summary statistics, monthly (1926:07–2015:12)
Variable	Mean	Std. Dev	Min	Max	ϕ
ΔFA	0.01	0.03	−0.15	0.40	0.032
FAMC	0.21	0.16	0.050	0.67	0.996***
Infl	0.002	0.005	−0.021	0.057	0.483***
RREL	−0.000	0.008	−0.043	0.045	0.906***
TermS	0.009	0.010	−0.027	0.033	0.973***
Total fed assets	432,284	–	4,716	4,509,462	–
Market cap	3,378,015	–	12,392	19,926,464	–
dp	−3.358	0.456	−4.502	−1.977	0.994***
ep	−2.725	0.415	−4.818	−1.761	0.991***
de	−0.632	0.331	−1.244	1.379	0.991***
r_vw^e	0.010	0.045	−0.340	0.33	0.088**
r_ew^e	0.006	0.057	−0.379	0.510	0.188***

Panel B. Summary statistics, monthly (1926:07–2015:12)
Variable	Mean	Std. Dev	Min	Max	ϕ
ΔFA	0.01	0.03	−0.15	0.40	0.032
FAMC	0.21	0.16	0.050	0.67	0.996***
Infl	0.002	0.005	−0.021	0.057	0.483***
RREL	−0.000	0.008	−0.043	0.045	0.906***
TermS	0.009	0.010	−0.027	0.033	0.973***
Total fed assets	432,284	–	4,716	4,509,462	–
Market cap	3,378,015	–	12,392	19,926,464	–
dp	−3.358	0.456	−4.502	−1.977	0.994***
ep	−2.725	0.415	−4.818	−1.761	0.991***
de	−0.632	0.331	−1.244	1.379	0.991***
r_vw^e	0.010	0.045	−0.340	0.33	0.088**
r_ew^e	0.006	0.057	−0.379	0.510	0.188***

Note(s): The first two rows in panel b relate to the Fed's total assets: (1) change in the Fed's total assets, ΔFA, and (2) Fed assets to market cap, FAMC. The next two rows are the change in consumer price index, Infl, and relative short-term treasury bill rate, RREL. The following row is term spread, TermS, from the Fred database, available during 1953:04–2015:12. The next two rows present total Fed assets and total market cap in millions of dollars. The three rows that come next are dividend price (dp), earning price (ep) and dividend payout (de) ratio. The last two rows present excess value weighted, r_vw^e, and excess equally weighted, r_ew^e, market returns, where R_ft is the one-month treasury rate. The last column presents autocorrelation coefficients, ϕ

***, ** and * represent statistical significance levels at 1, 5 and 10%, respectively

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