Is the sentiment priced? Evidence from the Korean stock market

<p>SAS files.</p> <p>1) dtset_ks.KOSPI&nbsp;</p> <p>2) dtset_kq: KOSDAQ</p> <p>Data description: This datasets are&nbsp;the common stock of non-financial companies traded on KOSPI(dtset_ks)&nbsp;and KOSDAQ(dtset_kq), including delisted stocks. KOSPI comprises primarily of large, established firms, whereas KOSDAQ comprises young, entrepreneurial firms.&nbsp;The spans from February 2000 to June 2022 and is based on the stock excess return.&nbsp;This dataset utilizes data from FnGuide and the yields of CD (91-day) provided by the Bank of Korea as a risk-free rate.&nbsp;</p> <p>Please look at the paper&nbsp;to&nbsp;see specific variables.&nbsp;</p>