Data for: Beyond Tradition: Labor, Wealth and Inflation in Rethinking Asset Pricing in Japan

The dataset includes data for Japanese market anomaly-based portfolios and factor series obtained from Kenneth R. French’s website for the period from July 1991 to June 2024. Specifically, it includes three sets of Japanese anomaly-based portfolios: the 25 size–BE/ME portfolios, the 32 size–BE/ME–investment portfolios, and the 32 size–BE/ME–operating profitability portfolios. It also includes the Japanese Fama–French three-factor and five-factor series provided by Kenneth R. French’s website. The dataset further includes the following macroeconomic series for Japan, retrieved from Datastream: (i) quarterly private consumption expenditure, in constant prices and seasonally adjusted (JPCNPER.D); (ii) population (JPTPOPULF); (iii) the dollar/yen exchange rate (MSERJPY); (iv) CPI (JPCONPRCF); (v) 3-month Treasury bill rates (ECJAP3M); (vi) 10-year government bond rates (TRJP10T); (vii) quarterly Japanese credit rating series (JPXCRRT.P); (viii) quarterly wages and salaries (JPXPEWF.B); (ix) quarterly net worth of financial corporations (JPXCNWF.A); and (x) the unemployment rate (JPLAUERAQ). Finally, the dataset includes the following macroeconomic series for the United States, also retrieved from Datastream: (i) private consumption expenditure (USCNPER.D); (ii) population (USPOPTOTP); (iii) CPI (USCONPRCF); (iv) 3-month Treasury bill rates (ECUSD3M); (v) 10-year government bond rates (TRUS10T); (vi) credit rating series (USXCRRT.P); (vii) wages and salaries (USXPEWF.B); (viii) net worth of financial corporations (USXCNWF.A); (ix) the unemployment rate (USUN%TOTQ); and (x) the dividend yield on the S&P 500 Composite.本数据集涵盖1991年7月至2024年6月期间的日本市场异象投资组合数据，以及从肯尼斯·R·弗伦奇（Kenneth R. French）官网获取的因子序列。具体而言，数据集包含三类日本异象投资组合：25组规模-账面市值比（size–BE/ME）投资组合、32组规模-账面市值比-投资（size–BE/ME–investment）投资组合，以及32组规模-账面市值比-营业利润率（size–BE/ME–operating profitability）投资组合。此外，数据集还包含肯尼斯·R·弗伦奇官网提供的日本法玛-弗伦奇（Fama–French）三因子与五因子序列。 数据集进一步包含从Datastream获取的日本宏观经济序列，具体如下：(i) 经季节调整的不变价季度私人消费支出（JPCNPER.D）；(ii) 人口数（JPTPOPULF）；(iii) 美元/日元汇率（MSERJPY）；(iv) 消费者物价指数（CPI，JPCONPRCF）；(v) 3个月期国库券利率（ECJAP3M）；(vi) 10年期政府债券收益率（TRJP10T）；(vii) 季度日本信用评级序列（JPXCRRT.P）；(viii) 季度工资薪金总额（JPXPEWF.B）；(ix) 季度金融公司净资产（JPXCNWF.A）；(x) 失业率（JPLAUERAQ）。 最后，数据集还包含同样从Datastream获取的美国宏观经济序列，具体如下：(i) 私人消费支出（USCNPER.D）；(ii) 人口数（USPOPTOTP）；(iii) 消费者物价指数（CPI，USCONPRCF）；(iv) 3个月期国库券利率（ECUSD3M）；(v) 10年期政府债券收益率（TRUS10T）；(vi) 信用评级序列（USXCRRT.P）；(vii) 工资薪金总额（USXPEWF.B）；(viii) 金融公司净资产（USXCNWF.A）；(ix) 失业率（USUN%TOTQ）；(x) 标普500综合指数股息收益率。