Data for: Income inequality and Japanese stock returns

We use the Datastream database to compile return, market value and price-to-book value data series of all companies traded on the Japanese equity market in the period from January 1983 to December 2019, totaling 5643 stocks. We use these data series to form three sorts of anomaly-based stock portfolios. First, we use the methodology proposed by Fama and French to form 25 market value-book-to-market equity portfolios. Second, we form 20 momentum portfolios by sorting stocks into twentiles and rebalancing portfolio weights every June. Third, we use 2-digit SIC codes, as provided by Datastream, to form 61 industry portfolios.

We compile all macroeconomic data and the risk-free rate —i.e., the three-month Treasury Bill rate for Japan— from the OECD Statistics database. Regarding consumption data, we use the total household consumption series. On the other hand, we use the wage gap by age series (WG) provided by the OECD for Japan, determined as the difference between mean earnings of 25-54 year-olds and that of 55-64 year-olds relative to mean earnings of 25-54 year-olds, where earnings refer to gross earnings of full-time dependent employees. Therefore, -WG represents the total age wage gap between older workers and younger workers, while -WG_W and -WG_M particularize this indicator to the case of female and male workers, respectively.

本研究所采用数据集源自Datastream数据库，汇聚了自1983年1月至2019年12月间，在日本证券交易所上市的所有公司之回报率、市值及账面价值数据系列，总计涵盖5643只股票。基于此数据系列，构建了三种基于异常值的股票投资组合。首先，采用Fama和French提出的方法，构建了25个市值-账面市值比股票投资组合。其次，通过将股票排序至二十分位，并在每年的6月重新平衡投资组合权重，形成了20个动量投资组合。第三，利用Datastream提供的两位数SIC行业代码，构建了61个行业投资组合。此外，我们还收集了所有宏观经济数据以及无风险利率，即日本的三个月期国库券利率，来自OECD统计数据库。在消费数据方面，我们使用了总家庭消费数据系列。另一方面，我们使用了OECD为日本提供的年龄工资差距系列（WG），该系列定义为25-54岁与55-64岁之间平均收入之差相对于25-54岁平均收入的比率，其中收入指全职非全日制员工的毛收入。因此，-WG表示老年工作者与年轻工作者之间的总年龄工资差距，而-WG_W和-WG_M则将此指标具体化为女性和男性工人的情况。