Following the Goyal and Welch (2008) stock return predictability data, does anyone know how they calculate the dividend yield from the dataset that they provide on Amit Goyals website http://www.hec.unil.ch/agoyal/?
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They define the dividend yield calculation in the beginning of the paper:
Dividend ratios are the total dividends paid by all stocks (D(t)), divided by the total stock market capitalization, either at the beginning of the year (the dividend yield, P(t − 1) or at the end of the year (the dividend-price ratio, P(t)).
