Data for: Do consumption shocks matter in explaining the cross-sectional behavior 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) dividend yield (DY series). Following Griffing et al. (2010), we exclude non-common equity securities from Datastream data. 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_size-BEME_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_momentum_portfolios_M: Monthly returns for 20 momentum portfolios rebalanced in June of each year. (Raw data source: Datastream database) 3. Japan_3_Factors_M: Monthly returns for the constituents of the three classic factors of Fama and French, following the Fama and French (1993) methodology. (Raw data source: Datastream database) 4. Japan_Consumption_Q: Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for Japan. (Raw data source: OECD) 5. Japan_Dividend_yield_M: Value-weighted dividend yield for the Japanese equity market. (Raw data source: Datastream database) 6. Japan_epsilon_DY_Q: Errors provided by the regression of consumption growth on the value-weighted dividend yield for Japan. (Raw data source: Datastream database and OECD) 7. Japan_RF_M: Three-month Treasury Bill rate for Japan. (Raw data source: OECD) 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. 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.

我们从Datastream数据库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的全部个股的原始数据。具体而言，我们按月度频率收集以下四类数据序列：(i) 总收益指数（RI系列）、(ii) 市值（MV系列）、(iii) 市净率（PTBV系列）以及(iv) 股息率（DY系列）。遵循Griffing等人（2010）的研究范式，我们从Datastream数据中剔除了非普通股证券。考虑到分析期内所有曾上市或已退市的公司，最终样本共包含5627只个股。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的代理变量。

本数据集包含以下七类数据序列：
1. Japan_25_portfolios_size-BEME_M：基于法玛与弗伦奇（Fama and French, 1993）方法构建的25个市值-账面市值比投资组合的月度收益率。（原始数据来源：Datastream数据库）
2. Japan_20_momentum_portfolios_M：每年6月进行再平衡的20个动量投资组合的月度收益率。（原始数据来源：Datastream数据库）
3. Japan_3_Factors_M：遵循法玛与弗伦奇（1993）方法构建的经典三因子的月度收益率序列。（原始数据来源：Datastream数据库）
4. Japan_Consumption_Q：日本以本国货币计价、按不变价格计算的私人最终消费支出，未经季节调整。（原始数据来源：OECD）
5. Japan_Dividend_yield_M：日本股票市场经市值加权的股息率。（原始数据来源：Datastream数据库）
6. Japan_epsilon_DY_Q：日本消费增长率对市值加权股息率进行回归得到的残差项。（原始数据来源：Datastream数据库及OECD）
7. Japan_RF_M：日本3个月国库券收益率。（原始数据来源：OECD）

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（Journal of Financial Economics）, 33, 3–56.
Griffin, J. M., Kelly, P. 与 Nardari, F. (2010). 市场效率测度能否得出合理推断？发达与新兴市场的比较研究（Review of Financial Studies）, 23, 3225–3277.