DATA FILES:*
Daily Information Asymmetry Proxy: Data File
Paper: A Simple Multimarket Measure of Information Asymmetry
Coauthor: Travis Johnson
Journal: Management Science [Articles in Advance]
Data Range: 2006 through 2015
Data Type: Firm-by-day
Data Fields: Permno, Date, MIA=daily proxy for the fraction of traders with an information advantage
Annual Earnings Forecasts from Regression Model: Data File
Paper: A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts?
Journal: Journal of Financial Economics [108(3): 615-640 (June 2013)]
Data Range: 1978-2016
Data Type: Firm-by-year
Data Fields: GVKEY, CUSIP, FYEAR=Fiscal year of data used to calculate forecasts,
FYR=month of fiscal year end, ForecastDate=Date where the forecast is assumed publicly available,
WF1/2/3=forecasts of one-, two-, and three-years ahead earnings per share,
Shares=number of shares outstanding
Expectations Management Incentive (EMI) Data: Data File
Paper: Expectations Management and Stock Returns Coauthor: Travis Johnson and Jinhwan Kim Journal: Review of Financial Studies [Accepted] Data Range: 1985 through 2015 Data Type: Quarterly earnings announcement by firm
Data Fields: Permno, Expected_ann_date, EMI=proxy for expectations management incentives
*Disclaimer: I do not guarentee the accuracy of this data. These files are intended as references that require updating and corrections. Use at your own risk.
