apps.olin.wustl.eduapps.olin.wustl.edu/faculty/zhou/SentimentI… · XLS file · Web view · 2015-12-12Sheet3 Sheet2 Sheet1 Sentiment Index (Baker-Wurgler's PC method) Sentiment

Note: Please feel free to use this dataset. When doing so, please cite the following paper:

Date196507 -1.578 -1.816 -1.738 -1.933196508 -1.605 -1.915 -1.610 -1.776196509 -1.553 -1.846 -1.573 -1.707196510 -1.449 -1.734 -1.407 -1.520196511 -1.492 -1.558 -1.185 -1.280196512 -1.531 -1.636 -1.168 -1.308196601 -1.569 -1.596 -0.944 -1.030196602 -1.648 -1.681 -0.901 -0.985196603 -1.453 -1.357 -0.551 -0.631196604 -1.486 -1.428 -0.463 -0.588196605 -1.443 -1.484 -0.533 -0.703196606 -1.376 -1.286 -0.280 -0.371196607 -1.301 -1.226 -0.189 -0.337196608 -1.169 -1.120 -0.030 -0.129196609 -1.243 -1.261 -0.405 -0.542196610 -1.217 -1.318 -0.488 -0.644196611 -1.168 -1.272 -0.559 -0.686196612 -1.029 -1.193 -0.810 -1.009196701 -0.914 -1.049 -1.078 -1.252196702 -0.830 -0.852 -0.945 -1.104196703 -0.872 -0.842 -0.714 -0.853196704 -0.745 -0.862 -0.524 -0.639196705 -0.743 -0.772 -0.511 -0.591196706 -0.661 -0.773 -0.368 -0.435196707 -0.604 -0.776 -0.242 -0.335196708 -0.546 -0.697 -0.503 -0.671196709 -0.437 -0.466 -0.606 -0.741196710 -0.528 -0.655 -0.783 -0.860196711 -0.244 -0.424 -0.714 -0.838196712 -0.004 -0.191 -0.780 -0.885196801 0.147 -0.057 -0.393 -0.459196802 0.306 0.013 -0.233 -0.225196803 0.294 0.001 0.111 0.107196804 0.188 -0.043 0.252 0.240196805 0.409 0.055 0.440 0.467196806 0.587 0.258 0.785 0.776196807 0.762 0.499 0.696 0.721196808 0.897 0.776 1.110 1.092196809 1.043 0.808 1.179 1.166196810 1.365 1.274 1.374 1.402

Investor sentiment data (updated in November 2015)

Dashan Huang, Fuwei Jiang, Jun Tu, and Guofu Zhou, 2015, Investor Sentiment Aligned: A Powerful Predictor of Stock Returns. Review of Financial Studies 28 (3), 791–837.

Sentiment Index (Baker-Wurgler's

PC method)

Sentiment Index (Baker-Wurgler's

PC method; orthogonalized)

Sentiment Index (PLS method in

Huang, Jiang, Tu, Zhou (2015 RFS))

Sentiment Index (PLS method in

Huang, Jiang, Tu, Zhou (2015 RFS); orthogonalized)

196811 1.454 1.461 1.654 1.634196812 2.004 1.968 2.160 2.179196901 1.893 1.891 2.437 2.428196902 1.793 1.805 2.411 2.413196903 1.773 1.782 2.539 2.535196904 2.039 2.069 2.821 2.780196905 2.295 2.531 3.251 3.249196906 2.329 2.465 3.112 3.071196907 2.304 2.450 3.072 3.049196908 2.210 2.328 3.088 3.068196909 2.422 2.544 3.194 3.222196910 2.288 2.456 3.056 3.064196911 2.315 2.523 2.798 2.834196912 2.400 2.691 2.515 2.666197001 2.214 2.398 2.305 2.359197002 1.949 2.083 2.079 1.997197003 1.932 2.148 1.719 1.615197004 1.802 1.944 1.492 1.343197005 1.592 1.610 1.021 0.754197006 1.243 1.343 0.639 0.274197007 1.170 1.271 0.298 -0.040197008 1.009 1.058 0.110 -0.186197009 0.943 1.109 -0.075 -0.439197010 0.745 0.944 -0.067 -0.379197011 0.557 0.695 -0.049 -0.305197012 0.447 0.791 -0.130 -0.381197101 0.296 0.616 -0.050 -0.219197102 0.083 0.395 -0.093 -0.157197103 -0.074 0.104 -0.161 -0.089197104 -0.393 -0.112 -0.315 -0.170197105 -0.601 -0.342 -0.687 -0.499197106 -0.697 -0.427 -0.511 -0.227197107 -0.672 -0.402 -0.252 0.090197108 -0.778 -0.463 -0.328 0.041197109 -0.667 -0.488 -0.205 0.080197110 -0.777 -0.792 -0.187 0.094197111 -0.927 -0.940 0.045 0.370197112 -0.929 -1.210 -0.110 0.028197201 -0.795 -1.108 -0.206 -0.183197202 -0.828 -1.067 0.197 0.161197203 -0.696 -0.863 0.229 0.144197204 -0.633 -0.847 0.447 0.258197205 -0.635 -0.745 0.603 0.384197206 -0.566 -0.679 0.918 0.797197207 -0.608 -0.723 0.745 0.657197208 -0.516 -0.727 0.750 0.614197209 -0.483 -0.544 0.779 0.706197210 -0.538 -0.480 0.673 0.600197211 -0.490 -0.534 0.651 0.507197212 -0.373 -0.476 0.535 0.331

197301 -0.392 -0.192 0.831 0.642197302 -0.265 -0.058 0.955 0.813197303 -0.245 -0.017 1.200 1.013197304 -0.333 -0.015 1.244 1.127197305 -0.515 -0.284 1.199 1.131197306 -0.651 -0.373 1.094 1.086197307 -0.749 -0.411 0.806 0.795197308 -0.877 -0.500 0.463 0.444197309 -0.947 -0.596 0.142 0.118197310 -1.073 -0.738 -0.065 -0.165197311 -1.247 -0.760 -0.003 -0.112197312 -1.129 -0.826 -0.069 -0.205197401 -1.132 -0.838 -0.185 -0.423197402 -1.377 -1.020 -0.339 -0.642197403 -1.453 -1.150 -0.436 -0.802197404 -1.717 -1.451 -0.397 -0.815197405 -1.827 -1.564 -0.777 -1.327197406 -1.875 -1.650 -0.882 -1.498197407 -1.896 -1.677 -0.922 -1.538197408 -2.131 -1.866 -1.035 -1.641197409 -1.976 -1.737 -0.855 -1.493197410 -2.265 -2.018 -1.040 -1.701197411 -2.514 -2.235 -0.934 -1.500197412 -2.280 -1.658 -0.865 -1.315197501 -2.136 -1.547 -0.788 -1.190197502 -2.382 -1.859 -0.755 -1.127197503 -2.498 -1.925 -1.102 -1.378197504 -2.523 -1.790 -1.051 -1.209197505 -2.533 -1.600 -0.957 -1.059197506 -2.548 -1.689 -1.031 -1.131197507 -2.396 -1.621 -1.076 -1.148197508 -2.365 -1.634 -0.946 -0.978197509 -2.347 -1.721 -0.667 -0.653197510 -2.205 -1.659 -0.402 -0.439197511 -2.284 -1.938 -0.359 -0.355197512 -2.337 -2.237 -0.233 -0.267197601 -2.134 -2.110 -0.191 -0.270197602 -2.142 -2.381 -0.139 -0.180197603 -2.026 -2.307 -0.077 -0.098197604 -1.928 -2.464 -0.251 -0.220197605 -1.850 -2.578 -0.125 -0.204197606 -1.747 -2.326 -0.150 -0.187197607 -1.618 -2.208 -0.079 -0.145197608 -1.680 -2.224 -0.272 -0.423197609 -1.697 -2.168 -0.652 -0.870197610 -1.709 -2.113 -0.699 -0.941197611 -1.757 -2.213 -0.926 -1.218197612 -1.655 -1.986 -1.106 -1.505197701 -1.508 -1.756 -1.102 -1.513197702 -1.399 -1.511 -0.703 -1.073

197703 -1.328 -1.552 -0.377 -0.730197704 -1.328 -1.526 -0.313 -0.674197705 -1.517 -1.674 -0.206 -0.473197706 -1.516 -1.816 -0.041 -0.256197707 -1.503 -1.740 -0.060 -0.271197708 -1.522 -1.795 -0.440 -0.650197709 -1.525 -1.829 -0.614 -0.848197710 -1.509 -1.741 -0.702 -0.922197711 -1.465 -1.493 -0.674 -0.885197712 -1.405 -1.440 -0.652 -0.870197801 -1.485 -1.544 -0.662 -0.829197802 -1.517 -1.479 -0.373 -0.617197803 -1.462 -1.349 -0.119 -0.386197804 -1.237 -1.232 0.485 0.123197805 -1.256 -1.205 0.413 0.021197806 -1.274 -1.168 0.424 0.035197807 -1.333 -1.273 0.388 -0.034197808 -1.281 -1.227 0.281 -0.096197809 -1.200 -1.029 0.121 -0.231197810 -1.173 -1.154 -0.310 -0.617197811 -1.124 -1.174 -0.246 -0.563197812 -1.084 -1.060 -0.207 -0.498197901 -0.960 -0.966 0.057 -0.201197902 -1.004 -1.054 -0.121 -0.418197903 -1.022 -0.980 -0.351 -0.705197904 -0.952 -0.818 -0.119 -0.495197905 -0.867 -0.725 0.238 -0.175197906 -0.635 -0.360 0.606 0.128197907 -0.505 -0.240 0.550 0.113197908 -0.363 0.055 0.888 0.468197909 -0.282 0.142 1.427 1.072197910 -0.445 0.025 1.109 0.755197911 -0.402 0.108 0.750 0.452197912 -0.346 0.167 0.412 0.196198001 -0.349 0.193 0.301 0.017198002 -0.308 0.049 0.173 -0.130198003 -0.137 0.233 0.066 -0.342198004 -0.213 0.204 0.145 -0.190198005 0.006 0.476 0.502 0.109198006 0.068 0.415 0.736 0.194198007 0.116 0.477 0.793 0.209198008 0.051 0.614 0.706 0.104198009 0.015 0.430 0.850 0.290198010 0.044 0.480 0.978 0.321198011 0.223 0.507 0.980 0.358198012 0.540 0.852 1.164 0.657198101 0.685 1.138 1.803 1.406198102 0.914 1.699 2.761 2.535198103 1.005 1.705 2.749 2.584198104 0.941 1.634 2.860 2.902

198105 0.878 1.360 2.808 2.913198106 0.989 1.455 2.622 2.762198107 0.888 1.313 2.125 2.268198108 1.065 0.851 1.773 1.760198109 1.217 1.166 1.902 1.834198110 1.277 1.324 2.222 1.922198111 1.398 1.566 2.263 1.880198112 1.565 1.773 2.574 2.083198201 1.410 1.531 2.962 2.466198202 1.460 1.440 2.926 2.439198203 1.574 1.542 2.858 2.380198204 1.538 1.497 2.568 2.199198205 1.597 1.652 2.433 2.087198206 1.526 1.637 2.067 1.731198207 1.385 1.678 1.690 1.311198208 1.190 1.744 1.201 0.856198209 1.045 1.506 0.881 0.579198210 0.966 1.411 0.600 0.255198211 0.960 1.279 0.558 0.251198212 0.943 1.488 0.543 0.440198301 0.804 1.114 0.449 0.362198302 0.701 1.160 0.597 0.633198303 0.539 1.040 0.769 0.886198304 0.588 0.981 0.979 1.201198305 0.516 0.880 0.876 1.155198306 0.540 0.923 1.215 1.430198307 0.656 0.905 1.334 1.512198308 0.665 0.884 1.349 1.445198309 0.774 0.946 1.403 1.415198310 1.234 1.276 1.583 1.563198311 1.471 1.558 2.143 2.134198312 1.642 1.310 2.048 2.001198401 1.975 1.817 2.057 2.013198402 2.090 1.756 2.024 2.024198403 2.071 1.750 2.032 1.980198404 1.879 1.666 1.833 1.762198405 2.129 1.936 1.562 1.432198406 2.179 1.971 1.487 1.349198407 2.110 1.817 1.344 1.168198408 1.843 1.658 1.153 0.889198409 1.812 1.728 0.891 0.690198410 1.505 1.434 0.620 0.459198411 1.487 1.424 0.246 0.055198412 1.343 1.231 -0.198 -0.409198501 1.245 1.185 -0.264 -0.477198502 1.151 1.216 -0.154 -0.292198503 1.078 1.063 -0.179 -0.313198504 1.045 1.088 -0.116 -0.275198505 0.949 0.934 -0.093 -0.265198506 0.831 0.757 0.001 -0.153

198507 0.751 0.777 0.003 -0.056198508 0.845 0.797 -0.060 -0.200198509 0.818 0.654 -0.052 -0.165198510 0.731 0.662 -0.063 -0.121198511 0.661 0.614 -0.082 -0.115198512 0.724 0.682 -0.043 -0.117198601 0.812 0.661 -0.052 -0.143198602 0.705 0.526 -0.045 -0.109198603 0.671 0.545 0.064 0.024198604 0.607 0.248 -0.030 -0.130198605 0.612 0.297 0.132 0.040198606 0.561 0.298 0.083 0.045198607 0.721 0.347 0.055 -0.015198608 0.700 0.309 -0.060 -0.097198609 0.713 0.297 -0.208 -0.294198610 0.721 0.337 -0.193 -0.252198611 0.824 0.407 -0.309 -0.380198612 0.841 0.442 -0.272 -0.388198701 0.809 0.564 -0.361 -0.407198702 0.727 0.486 -0.299 -0.377198703 0.708 0.415 -0.052 -0.114198704 0.755 0.549 0.037 -0.029198705 0.695 0.502 0.096 0.053198706 0.653 0.394 0.058 0.067198707 0.547 0.341 0.118 0.062198708 0.488 0.272 0.072 0.038198709 0.560 0.349 -0.105 -0.162198710 0.498 0.195 -0.254 -0.407198711 0.554 0.243 -0.508 -0.652198712 0.369 0.057 -0.693 -0.885198801 0.415 0.003 -0.689 -0.892198802 0.462 0.053 -0.678 -0.945198803 0.381 0.080 -0.712 -0.981198804 0.281 0.008 -0.675 -0.888198805 0.278 0.031 -0.602 -0.855198806 0.223 -0.019 -0.495 -0.737198807 0.161 -0.011 -0.452 -0.683198808 0.159 0.052 -0.484 -0.696198809 0.083 0.078 -0.590 -0.735198810 0.002 0.018 -0.581 -0.784198811 -0.002 0.051 -0.565 -0.718198812 0.031 0.063 -0.647 -0.795198901 -0.060 0.011 -0.833 -0.973198902 -0.114 -0.052 -0.800 -0.914198903 -0.144 -0.156 -0.906 -1.095198904 -0.176 -0.086 -0.978 -1.059198905 -0.254 -0.129 -1.100 -1.211198906 -0.165 -0.053 -0.980 -1.064198907 -0.272 -0.168 -0.873 -0.926198908 -0.356 -0.320 -1.013 -1.065

198909 -0.376 -0.347 -0.945 -0.945198910 -0.476 -0.462 -0.860 -0.915198911 -0.475 -0.461 -0.787 -0.815198912 -0.392 -0.298 -0.869 -0.913199001 -0.380 -0.323 -0.934 -0.933199002 -0.380 -0.310 -0.785 -0.788199003 -0.363 -0.284 -0.568 -0.598199004 -0.222 -0.261 -0.605 -0.622199005 -0.264 -0.382 -0.581 -0.630199006 -0.273 -0.347 -0.574 -0.598199007 -0.335 -0.475 -0.624 -0.676199008 -0.229 -0.529 -0.612 -0.724199009 -0.221 -0.542 -0.858 -1.020199010 -0.232 -0.529 -0.892 -1.078199011 -0.323 -0.548 -1.019 -1.189199012 -0.352 -0.591 -1.123 -1.361199101 -0.393 -0.695 -1.074 -1.357199102 -0.361 -0.652 -1.184 -1.440199103 -0.413 -0.690 -1.070 -1.322199104 -0.431 -0.417 -1.058 -1.241199105 -0.361 -0.326 -0.775 -0.950199106 -0.334 -0.381 -0.543 -0.650199107 -0.456 -0.463 -0.586 -0.643199108 -0.537 -0.228 -0.551 -0.493199109 -0.535 -0.298 -0.484 -0.305199110 -0.563 -0.343 -0.437 -0.183199111 -0.425 -0.287 -0.557 -0.228199112 -0.365 -0.255 -0.611 -0.177199201 -0.293 -0.054 -0.284 0.194199202 -0.150 0.000 -0.019 0.487199203 -0.035 0.012 0.008 0.449199204 -0.076 -0.294 0.030 0.418199205 -0.097 -0.276 0.046 0.378199206 -0.110 -0.209 0.040 0.343199207 -0.128 -0.247 -0.237 -0.008199208 -0.081 -0.183 -0.454 -0.229199209 -0.033 -0.074 -0.575 -0.321199210 -0.057 -0.105 -0.573 -0.335199211 0.005 -0.096 -0.593 -0.402199212 0.096 0.008 -0.586 -0.425199301 0.189 -0.064 -0.478 -0.315199302 0.236 0.084 -0.392 -0.301199303 0.159 0.091 -0.347 -0.241199304 -0.097 -0.189 -0.417 -0.315199305 -0.191 -0.265 -0.459 -0.292199306 -0.216 -0.366 -0.538 -0.422199307 -0.180 -0.277 -0.627 -0.501199308 -0.250 -0.419 -0.794 -0.656199309 -0.206 -0.391 -0.817 -0.724199310 -0.076 -0.262 -0.743 -0.662

199311 0.009 -0.119 -0.629 -0.581199312 0.029 -0.120 -0.478 -0.418199401 0.036 -0.067 -0.455 -0.365199402 -0.030 -0.135 -0.273 -0.226199403 -0.038 -0.151 -0.203 -0.121199404 -0.069 -0.224 -0.179 -0.106199405 0.045 -0.209 -0.245 -0.218199406 0.148 -0.060 -0.260 -0.250199407 0.129 -0.098 -0.266 -0.274199408 0.195 0.010 -0.434 -0.424199409 0.241 0.050 -0.487 -0.516199410 0.196 -0.009 -0.505 -0.551199411 0.236 -0.024 -0.499 -0.509199412 0.183 -0.056 -0.624 -0.632199501 0.244 0.028 -0.608 -0.627199502 0.264 -0.052 -0.521 -0.569199503 0.193 -0.093 -0.562 -0.608199504 0.045 -0.189 -0.577 -0.609199505 -0.049 -0.213 -0.651 -0.688199506 -0.072 -0.226 -0.642 -0.702199507 -0.134 -0.282 -0.681 -0.712199508 -0.042 -0.299 -0.717 -0.773199509 0.007 -0.211 -0.614 -0.622199510 0.022 -0.179 -0.545 -0.554199511 0.064 -0.084 -0.440 -0.452199512 0.083 -0.013 -0.439 -0.426199601 0.102 0.033 -0.380 -0.370199602 0.086 0.023 -0.288 -0.243199603 0.114 0.092 -0.244 -0.249199604 0.015 0.006 -0.124 -0.110199605 0.056 0.013 0.017 0.016199606 0.233 0.182 0.213 0.199199607 0.335 0.269 0.355 0.332199608 0.436 0.444 0.358 0.361199609 0.431 0.417 0.306 0.313199610 0.405 0.447 0.232 0.249199611 0.403 0.412 0.257 0.273199612 0.472 0.452 0.210 0.228199701 0.479 0.383 0.217 0.236199702 0.552 0.544 0.216 0.205199703 0.552 0.445 0.221 0.205199704 0.715 0.570 0.255 0.187199705 0.656 0.484 0.175 0.125199706 0.587 0.461 0.099 0.068199707 0.427 0.275 -0.066 -0.158199708 0.514 0.324 -0.230 -0.283199709 0.594 0.400 -0.238 -0.306199710 0.460 0.181 -0.340 -0.425199711 0.488 0.232 -0.419 -0.476199712 0.517 0.204 -0.468 -0.557

199801 0.508 0.204 -0.441 -0.469199802 0.369 0.056 -0.320 -0.371199803 0.309 0.034 -0.320 -0.339199804 0.067 -0.206 -0.348 -0.304199805 0.155 -0.103 -0.276 -0.255199806 0.130 -0.081 -0.179 -0.129199807 0.255 0.104 -0.152 -0.120199808 0.346 0.154 -0.233 -0.212199809 0.334 0.159 -0.276 -0.266199810 0.312 0.146 -0.219 -0.222199811 0.183 0.068 -0.408 -0.370199812 0.041 -0.040 -0.549 -0.522199901 0.041 0.044 -0.637 -0.596199902 0.135 0.096 -0.584 -0.511199903 0.115 0.055 -0.587 -0.515199904 0.046 0.071 -0.591 -0.533199905 -0.007 0.016 -0.509 -0.489199906 0.072 -0.022 -0.477 -0.456199907 0.015 -0.153 -0.366 -0.379199908 -0.120 -0.115 -0.359 -0.371199909 0.040 0.077 0.130 0.125199910 -0.053 -0.013 0.206 0.187199911 0.049 0.041 0.663 0.654199912 0.250 0.383 1.038 1.020200001 0.536 0.413 1.689 1.678200002 0.498 0.467 2.106 2.080200003 0.765 0.903 2.166 2.121200004 0.435 0.526 2.624 2.597200005 0.674 0.800 2.400 2.369200006 0.823 0.992 2.187 2.186200007 1.016 1.250 1.826 1.859200008 0.968 1.145 1.610 1.666200009 1.014 1.170 1.477 1.530200010 1.040 1.254 1.333 1.412200011 1.407 1.607 1.759 1.847200012 1.629 1.788 2.282 2.317200101 1.806 2.063 2.430 2.494200102 2.320 2.497 2.918 2.992200103 2.210 2.229 3.027 3.085200104 1.937 1.784 2.719 2.737200105 1.805 1.720 2.098 2.060200106 2.117 1.985 1.766 1.730200107 2.017 1.880 1.632 1.510200108 2.041 1.831 0.999 0.808200109 1.922 1.742 0.641 0.518200110 1.744 1.425 0.552 0.363200111 1.206 0.876 0.523 0.352200112 1.023 0.848 0.384 0.263200201 1.206 1.043 0.128 0.093200202 0.686 0.504 0.003 0.077

200203 0.416 0.218 -0.179 -0.078200204 0.485 0.541 -0.223 0.031200205 0.460 0.412 -0.163 0.165200206 0.466 0.404 -0.318 0.104200207 0.112 0.001 -0.463 -0.021200208 0.005 -0.125 -0.506 -0.021200209 -0.373 -0.514 -0.532 0.041200210 -0.271 -0.334 -0.537 -0.011200211 -0.138 -0.184 -0.608 -0.023200212 -0.236 -0.583 -0.648 -0.101200301 -0.276 -0.492 -0.684 -0.170200302 -0.407 -0.541 -0.582 -0.114200303 -0.346 -0.421 -0.636 -0.263200304 -0.616 -0.780 -0.695 -0.310200305 -0.692 -0.902 -0.759 -0.436200306 -0.686 -0.757 -0.746 -0.417200307 -0.778 -0.831 -0.708 -0.394200308 -0.807 -0.706 -0.753 -0.424200309 -0.676 -0.589 -0.652 -0.309200310 -0.602 -0.576 -0.658 -0.350200311 -0.505 -0.457 -0.610 -0.306200312 -0.594 -0.563 -0.600 -0.325200401 -0.463 -0.396 -0.528 -0.260200402 -0.351 -0.356 -0.542 -0.298200403 -0.378 -0.296 -0.618 -0.356200404 -0.275 -0.265 -0.616 -0.333200405 -0.253 -0.155 -0.575 -0.285200406 -0.188 -0.134 -0.517 -0.247200407 -0.011 0.021 -0.531 -0.280200408 0.079 0.031 -0.514 -0.301200409 0.042 0.009 -0.499 -0.339200410 0.026 0.099 -0.440 -0.275200411 -0.006 0.081 -0.558 -0.415200412 -0.022 0.015 -0.671 -0.531200501 0.050 -0.019 -0.628 -0.468200502 0.016 -0.007 -0.588 -0.412200503 -0.015 -0.223 -0.631 -0.485200504 0.029 0.012 -0.613 -0.471200505 0.023 -0.039 -0.616 -0.510200506 -0.018 -0.208 -0.635 -0.535200507 -0.181 -0.279 -0.838 -0.736200508 -0.165 -0.125 -1.009 -0.907200509 -0.130 0.089 -0.951 -0.799200510 -0.106 0.104 -1.014 -0.892200511 -0.055 -0.095 -0.945 -0.845200512 0.009 -0.023 -0.915 -0.808200601 -0.051 0.004 -0.839 -0.699200602 -0.118 -0.067 -0.793 -0.700200603 -0.119 -0.080 -0.762 -0.720200604 -0.147 -0.104 -0.813 -0.760

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201007 0.048 -0.297 0.378 0.986201008 0.113 -0.077 0.260 0.803201009 0.045 -0.011 0.120 0.621201010 -0.129 -0.157 -0.269 0.171201011 -0.211 -0.123 -0.449 0.003201012 -0.255 -0.118 -0.731 -0.341201101 -0.555 -0.563 -0.973 -0.583201102 -0.558 -0.571 -1.033 -0.628201103 -0.568 -0.546 -0.926 -0.561201104 -0.545 -0.492 -0.892 -0.515201105 -0.450 -0.419 -0.909 -0.585201106 -0.351 -0.309 -0.806 -0.463201107 -0.292 -0.257 -0.665 -0.358201108 -0.290 -0.262 -0.650 -0.382201109 -0.311 -0.313 -0.838 -0.556201110 -0.319 -0.339 -0.868 -0.623201111 -0.391 -0.413 -0.940 -0.666201112 -0.467 -0.475 -1.035 -0.779201201 -0.482 -0.483 -1.087 -0.850201202 -0.472 -0.464 -1.107 -0.869201203 -0.443 -0.421 -1.031 -0.780201204 -0.443 -0.409 -0.968 -0.725201205 -0.447 -0.393 -0.889 -0.626201206 -0.439 -0.401 -0.942 -0.671201207 -0.394 -0.356 -0.840 -0.552201208 -0.287 -0.222 -0.577 -0.216201209 -0.257 -0.191 -0.490 -0.151201210 -0.212 -0.144 -0.462 -0.098201211 -0.242 -0.192 -0.576 -0.227201212 -0.303 -0.234 -0.586 -0.215201301 -0.380 -0.305 -0.733 -0.367201302 -0.476 -0.411 -0.896 -0.599201303 -0.474 -0.406 -0.891 -0.594201304 -0.503 -0.435 -0.909 -0.598201305 -0.447 -0.357 -0.796 -0.453201306 -0.348 -0.262 -0.662 -0.324201307 -0.327 -0.243 -0.631 -0.257201308 -0.357 -0.269 -0.693 -0.313201309 -0.355 -0.284 -0.720 -0.375201310 -0.367 -0.295 -0.726 -0.414201311 -0.426 -0.372 -0.894 -0.635201312 -0.477 -0.410 -0.881 -0.634201401 -0.505 -0.443 -0.864 -0.638201402 -0.473 -0.420 -0.751 -0.540201403 -0.547 -0.508 -0.866 -0.644201404 -0.568 -0.525 -0.878 -0.623201405 -0.539 -0.490 -0.749 -0.489201406 -0.455 -0.436 -0.737 -0.513201407 -0.388 -0.369 -0.708 -0.490201408 -0.392 -0.371 -0.844 -0.619

201409 -0.290 -0.250 -0.699 -0.495201410 -0.198 -0.175 -0.656 -0.495201411 -0.141 -0.136 -0.670 -0.544201412 -0.164 -0.159 -0.725 -0.608

Dashan Huang, Fuwei Jiang, Jun Tu, and Guofu Zhou, 2015, Investor Sentiment Aligned: A Powerful Predictor of Stock Returns. Review of Financial Studies 28 (3), 791–837.