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.我们依托Datastream数据库，汇编了1983年1月至2019年12月日本股票市场全部上市企业的收益率、市值及市净率数据序列，涵盖共计5643只股票。我们基于上述数据序列构建三类基于市场异象的股票投资组合：其一，采用法玛（Fama）与弗伦奇（French）提出的研究方法，构建25组市值-账面市值比投资组合；其二，通过将股票按动量因子划分为20个分位，并于每年6月重新调整投资组合权重，构建20组动量投资组合；其三，采用Datastream数据库提供的2位标准行业分类码（SIC codes），构建61组行业投资组合。 我们从经合组织（OECD）统计数据库汇编全部宏观经济数据与无风险利率——即日本的3个月国库券利率——。就消费数据而言，我们采用居民总消费序列。另一方面，我们采用经合组织（OECD）提供的日本分年龄工资差距序列（WG），该指标定义为25-54岁群体与55-64岁群体的平均薪资之差，相对于25-54岁群体平均薪资的比值；其中薪资指全职受雇员工的总薪酬。因此，-WG代表老年劳动者与青年劳动者之间的整体年龄工资差距，而-WG_W与-WG_M则分别将该指标细化至女性与男性劳动者群体。