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 measures: ​



Firm-day Investor Disagreement Data

Overall, within investment philosophy and across investment philosophies, 2010-2021. Updated! Paper Link

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