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 ModelData File
     
       
Paper
A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts?

       JournalJournal 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



*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.