Data Library

DATA FILES:*

  • Daily Information Asymmetry ProxyData File       
    PaperA Simple Multimarket Measure of Information Asymmetry
    Coauthor: Travis Johnson
    JournalManagement 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?
    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

*Disclaimer: I do not guarantee the accuracy of this data. These files are intended as references that require updating and corrections. Use at your own risk.

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