Data for: Do consumption shocks matter in explaining the cross-sectional behavior of stock returns?

We compile raw data from the Datastream database for all stocks traded on the Tokyo Stock Exchance, Osaka Exchange, Fukuoka Stock Exchange, Nagoya Stock Exchange and Sapporo Securities Exchange. Particularly, we collect the following data series, on a monthly basis: (i) total return index (RI series), (ii) market value (MV series), (iii) market-to-book equity (PTBV series), and (iv) dividend yield (DY series). Following Griffing et al. (2010), we exclude non-common equity securities from Datastream data. Hence, our sample comprises 5,627 stocks, considering all companies that started trading or were delisted in the period under analysis. We use the three-month Treasury Bill rate for Japan, as provided by the OECD database, as a proxy for the risk-free rate. Accordingly, the dataset comprises the following series:

1. Japan_25_portfolios_size-BEME_M: Monthly returns for 25 size-book-to-market equity portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database)
2. Japan_20_momentum_portfolios_M: Monthly returns for 20 momentum portfolios rebalanced in June of each year. (Raw data source: Datastream database)
3. Japan_3_Factors_M: Monthly returns for the constituents of the three classic factors of Fama and French, following the Fama and French (1993) methodology. (Raw data source: Datastream database)
4. Japan_Consumption_Q: Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for Japan. (Raw data source: OECD)
5. Japan_Dividend_yield_M: Value-weighted dividend yield for the Japanese equity market. (Raw data source: Datastream database)
6. Japan_epsilon_DY_Q: Errors provided by the regression of consumption growth on the value-weighted dividend yield for Japan. (Raw data source: Datastream database and OECD)
7. Japan_RF_M: Three-month Treasury Bill rate for Japan. (Raw data source: OECD)

REFERENCES:

Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56.
Griffin, J. M., Kelly, P., and Nardari, F. (2010). Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. Review of Financial Studies, 23, 3225–3277.