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Data: Investor Sentiment

Investor Sentiment Data from Lutz (2016) and Baker and Wurgler (2006, 2007). For more details see Lutz (2016):

Lutz, C. (2016) "The Asymmetric Effects of Investor Sentiment", Macroeconomic Dynamics, 20(6), pp. 1477–1503.

See https://doi.org/10.1017/S1365100514000996

See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2050435

See http://chandlerlutz.com

Data Description

Investor sentiment data from Lutz (2016) and Baker and Wurgler (2006, 2007). See Lutz (2016) for further details. The data contain the following variables

  • Date The date in the form of YYYYMM
  • LutzSent The investor sentiment index of Lutz 2016
  • BWsent The investor sentiment index of Baker and Wurgler (2006, 2007)