Data

Firm-day Attention and Sentiment Data

First principal components (PCs) of attention and sentiment, 2012–2021.

Mendeley dataset

The data are in the Social Signal Index folder of the Mendeley dataset.

If you use these data, please cite the following publication, which develops, validates and uses the 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! See the paper for details.

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” by J. Anthony Cookson and Marina Niessner, working paper, 2023.