Thanks for reading,
I am trying to calculate the market dividend yield for this set of data.
The authors define it as 'The market dividend yield (MDY) is the one-year dividend from the CRSP value-weighted market portfolio divided by the current price'.
I haven't got a clue, I was wondering if someone could help.
The paper is Hong, H., Torous, W., and Valkanov, R., Do Industries Lead Stock Markets? Journal of Financial Economics, 83(2) 367-396, 2007.
And the data can be download from the link: http://rady.ucsd.edu/faculty/directory/valkanov/.