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Sentiment & Culture

  • AAII Investor Sentiment Survey US — Weekly survey by the American Association of Individual Investors gauging investor sentiment (bullish, bearish, or neutral). Provides data on investor psychology and retail investor behavior. Weekly readings run from July 1987 to the present.

Example Paper: Greenwood & Shleifer (2014): Expectations of Returns and Expected Returns 🔗

They use the AAII survey to measure individual investors' expectations of stock returns and find that these expectations rise after market gains yet predict low future returns. The measure is the share of surveyed investors who are bullish on the market, which they standardize to mean zero and unit variance so it can be pooled with five other survey-based expectation series into a common index.

  • Baker-Wurgler Investor Sentiment Index US — Monthly composite index of market-wide investor sentiment for the US, built from closed-end fund discounts, NYSE share turnover, the number and average first-day returns of IPOs, the equity share in new issues, and the dividend premium. Distributed as an Excel file with both the raw index and a version orthogonalized to macroeconomic conditions.

Example Paper: Montone & Zwinkels (2020): Investor Sentiment and Employment 🔗

They use the Baker-Wurgler index to show that high investor sentiment raises subsequent employment growth in the US and, through international spillovers, in other countries. The index captures market-wide investor optimism; to isolate the non-fundamental component, the authors orthogonalize the index against business-cycle indicators and lag it one year, so it reflects sentiment rather than current economic conditions.

  • Analytext US — A public repository of parsed textual data from SEC filings, including major sections and financial statement notes from 10-K and 10-Q reports, designed to accelerate business research.
  • Economic Policy Uncertainty Indices FRED Global — Newspaper-based indices measuring economic policy uncertainty (Baker, Bloom & Davis). The site hosts a wide range of indices beyond the headline EPU — see our overview page for details.
  • Geert Hofstede's Cultural Dimensions CSV Global — Country-level scores on cultural dimensions including individualism, uncertainty avoidance, power distance, and long-term orientation. Widely used in international finance and cross-cultural research.

Example Paper: Chui, Titman & Wei (2010): Individualism and Momentum around the World 🔗

They use Hofstede's individualism dimension to show that momentum profits, trading volume, and return volatility are all higher in more individualistic countries, consistent with overconfidence and self-attribution bias. The measure is each country's individualism score, which they use directly as a country-level explanatory variable for the cross-country variation in momentum.

  • Social Connectedness Index (SCI) CSV Global — Measures the strength of social connectedness between geographic locations based on Facebook data. Useful for studying social networks, investment flows, and market integration.
  • World Values Survey (WVS) CSV Global — Global survey of social, political, and cultural values covering topics like trust, happiness, and economic attitudes. Seven waves since 1981, covering 100+ countries.
  • European Values Study / Integrated Values Surveys (IVS) CSV Global — Longitudinal survey of European values on topics like trust, morality, religion, and economic attitudes. Five EVS waves since 1981, integrated with WVS data to form the IVS 1981–2022 dataset. Free via GESIS.
  • Global Preferences Survey — A globally representative dataset on risk and time preferences, positive and negative reciprocity, altruism, and trust. The website offers an interactive tool to compare preferences across countries.
  • J. Anthony Cookson — Social media-based investor sentiment and disagreement data from StockTwits, Twitter, and Seeking Alpha. Includes daily firm-level disagreement measures (2010–2021), echo chambers data (2013–2020), and partisan investor beliefs (2017–2020).

See also: Survey Data for household and consumer finance surveys (NFCS, LISS, HFCS, SCF).