Greenwood and Hanson developed the High Yield Share as a measure of credit market sentiment. The measure takes on high values when low quality firms are disproportionately issuing debt securities. The series takes its highest values in 1988, 1989, 1997, 2004, and was high in 2014 before falling recently. Note: This dataset uses the latest bond issuance data from Mergent via Wharton Research Data Services. There may be slight differences with prior versions of this dataset due to updates and corrections of the data by Mergent. Current version update: Sept 2020.

Baker and Wurgler developed an index of equity market sentiment that captures the common variation in a number of different time series that proxy for investor enthusiasm, including: the equity share in new issues, the discount on closed end funds, stock market turnover, the number of ipos, and the premium on dividend paying stocks. Below we plot sentiment in its annual and monthly forms, as well as a version of sentiment that Baker and Wurgler “orthogonalized” with respect to macroeconomic variables. Current version update: April 2019.