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 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