Data for: Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns

Published: 2 August 2021| Version 3 | DOI: 10.17632/g2xc3mxcgy.3


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) primary SIC codes. Following Griffing et al. (2010), we exclude non-common equity securities from Datastream data. Additionally, we remove all companies with less than 12 observations in RI series for the period under analysis. 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_MV_PTBV_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_Portfolios_MOM_M: Monthly returns for 20 momentum portfolios rebalanced in June of each year. (Raw data source: Datastream database) 3. Japan_61_Portfolios_SECTOR_M: Monthly returns for 61 industry portfolios. (Raw data source: Datastream database) 4. Japan_RF_M: Three-month Treasury Bill rate for Japan. (Raw data source: OECD) 5. Japan_C_Q: Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for Japan. (Raw data source: OECD) 6. Japan_Trade_Y: Trade openness for Japan, as measured by the variation rate of exports plus imports. (Raw data source: OECD) 7. Japan_RD_Y: Variation rate of R&D investment for Japan. (Raw data source: OECD) 8. Japan_IK_Y: Investment-capital ratio for Japan., determined using the methodology suggested by Cochrane (1991) (Raw data source: OECD) 9. Japan_CCI_M: Consumer confidence index for Japan. (Raw data source: OECD) REFERENCES: Cochrane, J.H. (1991), Production-based asset pricing and the link between stock returns and economic fluctuations. The Journal of Finance, 46, 209-237. 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.



Research and Development, International Trade, Asset Pricing, Japan, Stock Exchange, International Financial Market, Aggregate Consumption