Locating value-weighted dividend premium from SAS program divpremmonth_jaz_20210111.sas

[AliceF0001]

I am trying to locate the data "divpremmonth_jaz_20210111.sas" for a University study, but I can't find it available. Specifically, I am trying to replicate the Investor Sentiment Index following Baker and Wurgler (2004), where they say they got the data for value-weighted dividend premium from SAS program divpremmonth_jaz_20210111.sas. Can anyone help me?

[ballardw]

I would suggest contacting the source where you heard of that file, or the author of any paper that might might reference it.

Since that file name contains what might be partial date information there might be other versions with other date portions in the name somewhere but the only reference I find is in a spread sheet at https://www.google.com/url?sa=t&source=web&rct=j&opi=89978449&url=https://pages.stern.nyu.edu/~jwurg... which apparently has a "conversion" to STATA for a different period of data.

[mkeintz]

I have looked at a Baker/Wurgler paper, Investor Sentiment and the Cross-Section of Stock Returns

(published in 2006, not 2004).  I did find a 2004 paper, by Baker, Ruback, and Wurgler (Behavioral Corporate Finance: A Survey). And another Baker/Wurgler in 2004 (Market liquidity as a sentiment indicator),  None of them mentions this, or any other, SAS program.

Please provide a link to the source where you saw the program name mentioned.

[AliceF0001]

This is the excel  that I got from NYU data (https://pages.stern.nyu.edu/~jwurgler/data/). In row 26 of the README sheet, you can see they say they got the data from SAS program.

[Tom]

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@AliceF0001 wrote:

This is the excel  that I got from NYU data (https://pages.stern.nyu.edu/~jwurgler/data/). In row 26 of the README sheet, you can see they say they got the data from SAS program.

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Why don't you ask him?  His email is listed on that site.

https://pages.stern.nyu.edu/~jwurgler/

[mkeintz · Accepted solution]

It looks to me that the program may have been developed by Baker/Wurgler, but was not published.

Question: In their papers, do they publish an algorithm, or even a set of equations somewhere?  It might not be hard to implement, given that the CRSP/Compustat merged dataset to which they refer has a well-known data structure.

[Ksharp]

It looks like the data you are looking for is already included the Excel file you posted(see the  'DATA' sheet).

You can import it easily by proc import:

proc import datafile='C:\Users\xiakeshan\Downloads\SENTIMENT.xlsx' out=want dbms=xlsx replace;
sheet='DATA';
run;