Data for: Nuclear hazard and asset prices: Implications of nuclear disasters in the cross-sectional behavior of stock returns

Using all stocks listed on the Japanese equity market and macroeconomic data for Japan, the dataset comprises the following series: 1. Japan_25_Portfolios_MV_PTBV: Monthly returns for 25 size-book-to-market equity portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 2. Japan_25_Portfolios_MV_PE: Monthly returns for 25 size-PE portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 3. Japan_50_Portfolios_SECTOR: Monthly returns for 50 industry portfolios. (Raw data source: Datastream database) 4. Japan_3 Factors: Fama and French three-factors (RM, SMB and HML), following the Fama and French (1993) methodology. (Raw data source: Datastream database) 5. Japan_5 Factors: Fama and French five-factors (RM, SMB, HML, RMW, and CMA), following the Fama and French (2015) methodology. (Raw data source: Datastream database) 6. Japan_NUCLEAR_Y: Instrument in years with a value of 1 when a nuclear disaster has occurred somewhere in the world and 0 otherwise. (Raw data source: Bloomberg and BBC News) 7. Japan_NUCLEAR_M: Instrument in months with a value of 1 when a nuclear disaster has occurred somewhere in the world and 0 otherwise. (Raw data source: Bloomberg and BBC News) 8. Japan_RF_M: Three-month interest rate of the Treasury Bill for Japan. (Raw data source: OECD) 9. Company data: Names and general data of the companies that constitute the sample. (Raw data source: Datastream database) 10. Number of stocks in portfolios: Number of stocks included each year in Japan_25_Portfolios_MV_PTBV, Japan_25_Portfolios_MV_PE and Japan_50_Portfolios_SECTOR. (Raw data source: Datastream database) We have produced all return series using the following data from Datastream: (i) total return index (RI series), (ii) market value (MV series), (iii) market-to-book equity (PTBV series), (iv) total assets (WC02999 series), (v) return on equity (WC08301 series), (vi) price-to-earnings ratio (PE series), and (vii) industry (SECTOR series). We have used the generic rules suggested by Griffin, Kelly, & Nardari (2010) for excluding non-common equity securities from Datastream data. We also exclude stocks with less than twelve observations. Accordingly, our sample comprises a total number of 5,212 stocks. 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. Fama, E. F. and French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116, 1–22. 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.

本数据集涵盖日本股票市场全部上市股票及日本宏观经济数据，包含以下序列：
1. Japan_25_Portfolios_MV_PTBV：25个市值-账面市值比投资组合的月度收益率，遵循法玛-弗伦奇（Fama and French, 1993）方法构建，原始数据来源：Datastream数据库。
2. Japan_25_Portfolios_MV_PE：25个市值-市盈率（PE）投资组合的月度收益率，遵循法玛-弗伦奇（1993）方法构建，原始数据来源：Datastream数据库。
3. Japan_50_Portfolios_SECTOR：50个行业投资组合的月度收益率，原始数据来源：Datastream数据库。
4. Japan_3 Factors：法玛-弗伦奇三因子（RM、SMB与HML），遵循法玛-弗伦奇（1993）方法构建，原始数据来源：Datastream数据库。
5. Japan_5 Factors：法玛-弗伦奇五因子（RM、SMB、HML、RMW与CMA），遵循法玛-弗伦奇（2015）方法构建，原始数据来源：Datastream数据库。
6. Japan_NUCLEAR_Y：全球范围内发生核灾害时取值为1、否则为0的年度核灾害指示变量，原始数据来源：彭博（Bloomberg）与英国广播公司新闻（BBC News）。
7. Japan_NUCLEAR_M：全球范围内发生核灾害时取值为1、否则为0的月度核灾害指示变量，原始数据来源：彭博与英国广播公司新闻。
8. Japan_RF_M：日本国库券三个月期利率，原始数据来源：经济合作与发展组织（Organisation for Economic Co-operation and Development, OECD）。
9. 公司数据：构成样本的公司名称及基础经营信息，原始数据来源：Datastream数据库。
10. 投资组合个股数量：每年纳入Japan_25_Portfolios_MV_PTBV、Japan_25_Portfolios_MV_PE及Japan_50_Portfolios_SECTOR的个股数量，原始数据来源：Datastream数据库。

本研究采用Datastream数据库的以下七类数据生成全部收益率序列：(i) 总收益指数（RI系列）、(ii) 市值（MV系列）、(iii) 账面市值比（PTBV系列）、(iv) 总资产（WC02999系列）、(v) 净资产收益率（WC08301系列）、(vi) 市盈率（PE系列），以及(vii) 行业分类（SECTOR系列）。

本研究采用格里芬、凯利与纳尔达里（Griffin, Kelly, & Nardari, 2010）提出的通用筛选规则，从Datastream数据中剔除非普通股证券，并同时剔除观测值少于12条的个股。据此，本样本总计包含5212只个股。

参考文献：
Fama, E. F. 与 French, K. R. (1993). 股票与债券收益中的共同风险因子. 《金融经济学杂志》, 33, 3–56.
Fama, E. F. 与 French, K. R. (2015). 五因子资产定价模型. 《金融经济学杂志》, 116, 1–22.
Griffin, J. M., Kelly, P. 与 Nardari, F. (2010). 市场效率测度能否得出可靠推论？发达市场与新兴市场的比较. 《金融研究评论》, 23, 3225–3277.