Data for: Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section 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) primary SIC codes. Following Griffing et al. (2010), we exclude non-common equity securities from Datastream data. Additionally, we remove all companies with less than 12 observations in RI series for the period under analysis. 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_MV_PTBV_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_Portfolios_MOM_M: Monthly returns for 20 momentum portfolios rebalanced in June of each year. (Raw data source: Datastream database) 3. Japan_61_Portfolios_SECTOR_M: Monthly returns for 61 industry portfolios. (Raw data source: Datastream database) 4. Japan_RF_M: Three-month Treasury Bill rate for Japan. (Raw data source: OECD) 5. Japan_C_Q: Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for Japan. (Raw data source: OECD) 6. Japan_Trade_Y: Trade openness for Japan, as measured by the variation rate of exports plus imports. (Raw data source: OECD) 7. Japan_RD_Y: Variation rate of R&D investment for Japan. (Raw data source: OECD) 8. Japan_IK_Y: Investment-capital ratio for Japan., determined using the methodology suggested by Cochrane (1991) (Raw data source: OECD) 9. Japan_CCI_M: Consumer confidence index for Japan. (Raw data source: OECD) REFERENCES: Cochrane, J.H. (1991), Production-based asset pricing and the link between stock returns and economic fluctuations. The Journal of Finance, 46, 209-237. 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.本研究从Datastream数据库中采集了在东京证券交易所、大阪证券交易所、福冈证券交易所、名古屋证券交易所及札幌证券交易所上市交易的所有股票的原始数据。具体而言，我们按月收集以下数据序列：(i) 总回报指数（total return index），(ii) 市值（market value），(iii) 市净率（market-to-book equity），以及(iv) 主要标准产业分类代码（primary SIC codes）。遵循Griffing等人（2010）的研究方法，我们从Datastream数据中剔除非普通股证券。此外，我们移除了在研究区间内总回报指数序列观测值少于12条的公司。最终，本样本涵盖5627只股票，包含研究区间内上市交易或退市的全部公司。 我们采用经济合作与发展组织（OECD）数据库提供的日本3个月国库券收益率作为无风险利率（risk-free rate）的代理变量。据此，本数据集包含以下序列： 1. Japan_25_Portfolios_MV_PTBV_M：参照法玛与弗伦奇（Fama and French，1993）的方法构建的25个市值-市净率组合的月度收益率。（原始数据来源：Datastream数据库） 2. Japan_20_Portfolios_MOM_M：20个动量组合的月度收益率，该组合于每年6月进行再平衡。（原始数据来源：Datastream数据库） 3. Japan_61_Portfolios_SECTOR_M：61个行业组合的月度收益率。（原始数据来源：Datastream数据库） 4. Japan_RF_M：日本3个月国库券收益率。（原始数据来源：OECD） 5. Japan_C_Q：日本私人最终消费支出，以本国货币计价且为不变价格，未经季节性调整。（原始数据来源：OECD） 6. Japan_Trade_Y：日本贸易开放度，以进出口总额的变化率衡量。（原始数据来源：OECD） 7. Japan_RD_Y：日本研发（R&D）投资变化率。（原始数据来源：OECD） 8. Japan_IK_Y：日本投资资本比，采用科克伦（Cochrane，1991）提出的方法计算得到。（原始数据来源：OECD） 9. Japan_CCI_M：日本消费者信心指数。（原始数据来源：OECD） 参考文献： 1. Cochrane, J.H. (1991). 基于生产的资产定价与股票收益和经济波动的关联. 《金融期刊》(The Journal of Finance), 46, 209-237. 2. Fama, E.F. & French, K.R. (1993). 股票与债券收益中的共同风险因子. 《金融经济学期刊》(Journal of Financial Economics), 33, 3-56. 3. Griffin, J.M., Kelly, P. & Nardari, F. (2010). 市场效率度量能否得出可靠推断？发达市场与新兴市场的比较研究. 《金融研究评论》(Review of Financial Studies), 23, 3225-3277.