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mai_rfs

data for macroeconomic attention and risk premia

https://github.com/charlesmartineau/mai_rfs

Science Score: 44.0%

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Repository

data for macroeconomic attention and risk premia

Basic Info
  • Host: GitHub
  • Owner: charlesmartineau
  • Default Branch: main
  • Size: 7.25 MB
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  • Stars: 5
  • Watchers: 2
  • Forks: 0
  • Open Issues: 0
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Created over 4 years ago · Last pushed almost 2 years ago
Metadata Files
Readme Citation

README.md

Data for Macroeconomic Attention and Announcement Risk Premia

We provide the daily and monthly monthly macroeconomic attention indices for the New York Times and Wall Street Journal used in Fisher, Martineau, and Sheng (2021) "Macroeconomic Attention and Announcement Risk Premia" [SSRN].

Columns ending with "ni" and "wi" corresponds to NYT and WSJ, respectively, and those without corresponds to the composite index.

The data is available from June 1980 to December 2020. We plan to update the data annually.

We also include the 3-day average (MAI3) and the 3-day detrended MAI-Pre (dMAI3) prior to Unemployment and FOMC announcements in MAIUnemploymentAnnouncement.csv and MAIFOMCAnnouncement.csv. Note that computing the 3-day detrended MAI-Pre is not trivial due to the dynamic window length between announcements. The results reported in the paper are robust to simply taking the 3-day average prior to announcements.

If you use this data, please cite our study accordingly.

Owner

  • Name: Charles
  • Login: charlesmartineau
  • Kind: user
  • Location: Toronto
  • Company: University of Toronto

Citation (CITATION.cff) 

@article{fisher2021,
  title={Macroeconomic attention and announcement risk premia},
  author={Fisher, Adlai J. and Martineau, Charles and Sheng, Jinfei},
  journal={Review of Financial Studies, Forthcoming},
  year={2022}
}

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