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.