Country-level news data from Calomiris and Mamaysky, 2019, "How News and Its Context Drive Risk and Returns around the World." This research was conducted as part of the News & Finance initiative at Columbia's Program for Financial Studies.

Thomson-Reuters Data

We thank Thomson-Reuters for allowing us to share the derived data series from the paper.

Topic word lists

• EM topics

• DM topics

Updated country-level series

We have recently updated the country-level series to include more data. As part of this we made minor changes to the methodology for calculating the country-level news series.

• The data and these changes are described here.

• The new data are available here.

Original country-level series

The original country-level monthly files from the paper (containing topic frequency, sentiment, and entropy) are available here.

• Total entropy is the sum of the topic specific entropy measures (the columns labeled e_[topic]).