Data for: Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences

Published: 03-03-2021| Version 1 | DOI: 10.17632/xnc4yh4w72.1
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We compile raw data from the Datastream database for all stocks traded on the Tokyo Stock Exchange. We use the filters suggested by Griffin et al. (2010) for Datastream series to exclude special purpose vehicles from data. Consequently, our sample comprises 3,866 stocks. We compile all macroeconomic series from the OECD Statistics section. Our dataset comprise 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. 2 Japan_25_Portfolios_MV_DY_M: Monthly returns for 25 size-dividend yield portfolios, following the Fama and French (1993) methodology. 3 Japan_25_Portfolios_MV_PC_M: Monthly returns for 25 size-price-to-cash flow portfolios, following the Fama and French (1993) methodology. 4 Japan_3 Factors_M: Monthly returns for the portfolios that constitute the three classic Fama-French factors (RMRF, SMB and HML), following the Fama and French (1993) methodology. 5 Japan_5 Factors_M: Monthly returns for the portfolios that constitute the five Fama-French factors (RMRF, SMB, HML, RMW and CMA), following the Fama and French (2015) methodology. 6 Japan_RF_M: Three-month Treasury Bill rate for Japan. 7 Japan_C_Q: Private final consumption expenditure, in national currency and constant prices for Japan. 8 Japan_IK_Q: Investment-capital ratio, following the Cochrane (1991) methodology. We use gross capital formation series for Japan, in national currency, seasonally adjusted. We assume a depreciation rate of 0.1 and no adjustment cost. 9 Japan_DY_ConstrTech_M: Value-weighted dividend yield portfolios for Japanese firms in construction and technology industries, as proxied by two-digit SIC codes 15-17 and 36-48, respectively. 10 Japan_Bubbles_Q: Variation rates of construction and technology bubbles in Japan, as determined by a parameterized version of the bubble term in the Campbell and Shiller (1988) return identity, using the investment-capital ratio as an instrument. 11 Japan_Errors_Q: Residuals that result from the regression of consumption growth on the variation rate of construction and technology bubbles and the lagged consumption growth. REFERENCES: Campbell, J. Y., and Shiller, R. J. (1988). The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors, The Review of Financial Studies, 1, 195-228. 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. 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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