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

Published: 16 November 2020| Version 3 | DOI: 10.17632/wv94fj59t4.3
Contributors:
Ana Belén Alonso-Conde,
Javier Rojo-Suárez

Description

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.

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Asset Pricing, Japan, International Financial Market, Discount Rate

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