This file contains Google Ticker Search when searching for the ticker plus the word stock (e.g. "AAPL stock") includes our paper's tickers from the S&P500. The variable TS_SVI" is the raw daily Google Ticker Search. The variable "TS_SVI_month" is the monthly Google Ticker Search from 2004 to the 2022 to perform fixed scaling per prior research.
The data for the S&P500 for the years 2010 till 2022 is available. The data from the tickers of the Russell 3000 (excluding the SP500) for the years 2016 till 2022 will become available. The years 2010-2015 for the Russel 3000 are currently being generated and uploaded.
When using the data, please cite our paper: deHaan, E., Lawrence, A. and Litjens, R., 2023. Measuring Investor Attention using Google Search. Available at SSRN 3398287. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3398287
Files SP500:
"TSSVI SP500 2010-2022.dta" contains the daily TS-SVI for the SP500 for the years 2010-2022.
"TSSVI FILE SP500 MONTH (fixed scalar)" contains the monthly Google Ticker Search from 2004 to 2022 for the SP500 to perform fixed scaling per prior research.
Files Russel 3000:
"TSSVI_RUSSEL3000_2022.dta" contains the daily TS-SVI for the for the year 2022
"TSSVI_RUSSEL3000_2021.dta" contains the daily TS-SVI for the for the year 2021
"TSSVI_RUSSEL3000_2020.dta" contains the daily TS-SVI for the for the year 2020
"TSSVI_RUSSEL3000_2019.dta" contains the daily TS-SVI for the for the year 2019
"TSSVI_RUSSEL3000_2018.dta" contains the daily TS-SVI for the for the year 2018
"TSSVI_RUSSEL3000_2017.dta" contains the daily TS-SVI for the for the year 2017
"TSSVI_RUSSEL3000_2016.dta" contains the daily TS-SVI for the for the year 2016
"TSSVI FILE RUSSEL MONTH (fixed scaler)" contains the monthly Google Ticker Search from 2004 to 2022 to perform fixed scaling per prior research.