Human Capital Database Construction and Alpha Factor Research
Utilizing the Toyo Keizai CSR Employment Database and others, we are constructing a unique database to quantitatively evaluate the human capital of Japanese companies. Furthermore, we use these indicators as stock factors to empirically analyze the relationship between the quality of human capital and stock returns.
Key Research Areas
- Human Capital Database Construction: Systematic organization and indexing of CSR employment data.
- Development of Composite Evaluation Indicators: Design of comprehensive scores for diversity, WLB, personnel retention, etc.
- Integration into Stock Factors: Converting human capital indicators into alpha factors and verifying their effectiveness.
Major Trends (2023 → 2025)
| Indicator |
2023 |
2025 |
Change |
| Average Annual Salary |
6,534,247 JPY |
6,845,428 JPY |
+4.8% |
| Female Manager Ratio |
9.3% |
10.7% |
+1.4pt |
| Paid Leave Acquisition Rate |
64.3% |
71.3% |
+7.0pt |
Human Capital Indicator System
| Category |
Key Indicators |
| Composition |
Female ratio, Female manager ratio, Foreigner ratio |
| Stability |
Turnover rate, 3-year retention rate, Average years of service |
| Compensation |
Average annual salary, Gender wage gap, Paid leave rate |
| Support |
Male/Female childcare leave rate, Return-to-work rate |
| Work Style Reform |
Flexible work score, Telework introduction, Side-job permission |
Stock Factor Design
Level Factors (Absolute Values)
| Factor Name |
Definition |
Investment Hypothesis |
| HC_Quality |
Human Capital Quality Score |
Companies with high-quality human capital outperform in the long term. |
| Gender_Diversity |
Female Manager Ratio |
Advanced D&I companies have higher quality management decisions. |
| Employee_Satisfaction |
Paid leave rate + (100 - turnover rate) |
Companies with high employee satisfaction have high productivity. |
Conclusion
Although work-style reform in Japanese companies is steadily progressing, there is still room for improvement in promoting diversity and employment of people with disabilities. In this research, we systematically create a database of these human capital indicators and use them as stock factors. We aim to sophisticate human capital evaluation in ESG investment and empirically analyze the relationship between the quality of human capital and corporate value.
