Code and Data from "The Social Signal"

Published: 13 May 2024| Version 1 | DOI: 10.17632/xffyybvw4j.1
J. Anthony Cookson,


This project includes the data and code disclosure for "The Social Signal," by J. Anthony Cookson, Runjing Lu, Marina Niessner and William Mullins. As this project is based on a set of proprietary databases from social media and databases that require subscriptions to access, we have created stand-in datasets without disclosing the underlying files so that users of this package can run our code. The README file contains more information on the directory structure, which identifies the data sources as well as which data are proprietary.


Steps to reproduce

We collected the social media data via agreements with and (institutional) subscriptions to StockTwits, Context Analytics, and Ravenpack. The financial data from CRSP and Compustat were accessed via institutional subscriptions. More details on the data sources, access, and construction are provided in our paper. The .do file in the replication package provides detailed instructions on how to assemble our analysis dataset from these raw underlying files.


University of Alberta, Indiana University Bloomington Kelley School of Business, University of California San Diego Rady School of Management, University of Colorado Boulder