data and programs

Data and Programs

Partisan investor beliefs data (daily sentiment time series of Republican investors versus others, January 2017 through June 2020).
Zipped Folder. contains README, .dta format, .csv format and .RData format.
Partisan Differences 2017-2020

If you use these data, please cite the following publication, which develops, validates and uses these sentiment measures:
Does partisanship shape investor beliefs? Evidence form the COVID-19 pandemic by J. Anthony Cookson, Joseph E. Engelberg and William Mullins Review of Asset Pricing Studies, 2020, Forthcoming. 

Daily investor disagreement data (overall, within investment philosophy and across investment philosophies, 2010-2018).

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

Text-Based Innovation Data
Data and README in compressed folder.
Main measure and "negative" text-based innovation, 1990-2010.

Innovation word lists + README in compressed folder.  
This file contains most salient words from our innovation topic, as well as an alternative derived from Princeton's WordNet database.  Disclaimer: If you use these word lists on corpora outside of our sample, you should provide validation that it is useful in your context.

If you use these data, please cite the following publication, which develops, validates and uses the innovation measures:
A text-based analysis of corporate innovation by Gustaf Bellstam, Sanjai Bhagat, and J. Anthony Cookson, Management Science, Forthcoming. 

Two-step assortative matching code (R code that implements our two-step assortative matching estimator to correct for selection bias).

If you use this code, please cite the following publication, which develops and validates the technique with application to reputation in IPO underpricing:
Assortative matching and reputation in the market for first issues by Oktay Akkus, J. Anthony Cookson and Ali Hortacsu, Management Science, Forthcoming.


Comments