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.
Investor sentiment data from Lutz (2016) and Baker and Wurgler (2006, 2007). See Lutz (2016) for further details. The data contain the following variables
DateThe date in the form of YYYYMM
LutzSentThe investor sentiment index of Lutz 2016
BWsentThe investor sentiment index of Baker and Wurgler (2006, 2007)