Is the sentiment priced? Evidence from the Korean stock market

SAS files.

1) dtset_ks.KOSPI 

2) dtset_kq: KOSDAQ

Data description: This datasets are the common stock of non-financial companies traded on KOSPI(dtset_ks) and KOSDAQ(dtset_kq), including delisted stocks. KOSPI comprises primarily of large, established firms, whereas KOSDAQ comprises young, entrepreneurial firms. The spans from February 2000 to June 2022 and is based on the stock excess return. This dataset utilizes data from FnGuide and the yields of CD (91-day) provided by the Bank of Korea as a risk-free rate. 

Please look at the paper to see specific variables.