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Dataset supporting thesis titled: "Essays in macro asset pricing models with news sentiment"

Dataset supporting thesis titled: "Essays in macro asset pricing models with news sentiment"
Dataset supporting thesis titled: "Essays in macro asset pricing models with news sentiment"
This dataset contains the financial time-series data, sentiment indices, option market data, and processed variables used across the three empirical chapters of the doctoral thesis ‘Essays in Macro Asset Pricing Models with News Sentiment’. The dataset includes raw data sources, cleaned data files, and supplementary materials necessary for the replication of the analysis.
University of Southampton
Yang, Xuefeng
371f26c6-d38d-4fbd-a5fe-12cfe88ba290
Hatcher, Michael
e0846252-6d46-44f8-ba3c-05cf1fba64ab
Olmo, Jose
706f68c8-f991-4959-8245-6657a591056e
Stepanchuk, Serhiy
ab625a3a-3db4-411f-90a4-1a2d2f9a0b17
Yang, Xuefeng
371f26c6-d38d-4fbd-a5fe-12cfe88ba290
Hatcher, Michael
e0846252-6d46-44f8-ba3c-05cf1fba64ab
Olmo, Jose
706f68c8-f991-4959-8245-6657a591056e
Stepanchuk, Serhiy
ab625a3a-3db4-411f-90a4-1a2d2f9a0b17

Yang, Xuefeng (2025) Dataset supporting thesis titled: "Essays in macro asset pricing models with news sentiment". University of Southampton doi:10.5258/SOTON/D3756 [Dataset]

Record type: Dataset

Abstract

This dataset contains the financial time-series data, sentiment indices, option market data, and processed variables used across the three empirical chapters of the doctoral thesis ‘Essays in Macro Asset Pricing Models with News Sentiment’. The dataset includes raw data sources, cleaned data files, and supplementary materials necessary for the replication of the analysis.

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dataset_chapter1.pkl - Dataset
Available under License Creative Commons Attribution.
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dataset_chapter2.pkl - Dataset
Available under License Creative Commons Attribution.
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sentiment_raw.csv - Dataset
Available under License Creative Commons Attribution.
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options_chapter3.pkl - Dataset
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welch_goyal_controls.csv - Dataset
Available under License Creative Commons Attribution.
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spx_index.csv - Dataset
Available under License Creative Commons Attribution.
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thesis_dataset_readme.txt - Dataset
Available under License Creative Commons Attribution.
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More information

Published date: 2025

Identifiers

Local EPrints ID: 506854
URI: http://eprints.soton.ac.uk/id/eprint/506854
DOI: doi:10.5258/SOTON/D3756
PURE UUID: 2ea7b568-1cd5-47c6-b43e-8f094f1a490c
ORCID for Xuefeng Yang: ORCID iD orcid.org/0009-0005-7902-9854
ORCID for Michael Hatcher: ORCID iD orcid.org/0000-0001-8506-1950
ORCID for Jose Olmo: ORCID iD orcid.org/0000-0002-0437-7812

Catalogue record

Date deposited: 19 Nov 2025 17:34
Last modified: 20 Nov 2025 03:03

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Contributors

Creator: Xuefeng Yang ORCID iD
Research team head: Michael Hatcher ORCID iD
Research team head: Jose Olmo ORCID iD
Research team head: Serhiy Stepanchuk

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