Marina Niessner

Firm-day Attention and Sentiment Data

First principal components, PCs, of attention and sentiment, 2012-2021
Mendeley link to data. Data are in the Social Signal Index folder.

If you use these data, please cite the following publication, which develops, validates and uses the disagreement measures: 

“The Social Signal" by J. Anthony Cookson, Runjing Lu, Will Mullins, and Marina Niessner, Journal of Financial Economics. Vol 158 (August 2024). 103870.

Firm-day Investor Disagreement Data
Overall, within investment philosophy and across investment philosophies, 2010-2021. Updated! Paper Link

README
Stata Format
R workspace format
Tab-delimited Format

If you use these data, please cite the following publications, which develop, validate and use the disagreement measures: 

“Why Don't We Agree? Evidence from a Social Network of Investors” by J. Anthony Cookson and Marina Niessner, Journal of Finance Vol 75, No 1 (February 2020), pp. 173-228

"Investor Disagreement: Daily Measures from Social Media" J. Anthony Cookson and Marina Niessner, Working paper. 2023