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DATA

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  • Mood factor data is used for the study: The Impact of Public Mood on the Cross-Section of Stock Returns.

  • Firm-Specific News Sentiment Factor is used for the study: Biased News or Irrational Investors: Evidence from Biased Beliefs of Uncertainty and Information Acquisition.

MOOD RISK FACTOR

Monthly Mood Risk Factor Portfolio Return

monthly data

FIRM-SPECIFIC NEWS SENTIMENT FACTOR

Daily Cross-Section News Sentiment Factor

stock news sentiment factor daily return data

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