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

Published: 26 May 2026| Version 1 | DOI: 10.17632/d6tpw93xw3.1
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Description

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.

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Financial Market, Unemployment, Asset Pricing, Japan, Inflation, Stock Exchange, Stock Market Valuation, Stock Price, Wealth, Discount Rate

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