{"id":108,"date":"2018-03-11T17:19:02","date_gmt":"2018-03-11T17:19:02","guid":{"rendered":"http:\/\/mitmgmtfaculty.mit.edu\/eso\/?page_id=108"},"modified":"2022-10-26T12:50:51","modified_gmt":"2022-10-26T12:50:51","slug":"data-library","status":"publish","type":"page","link":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/","title":{"rendered":"Data Library"},"content":{"rendered":"<div id=\"pl-108\"  class=\"panel-layout\" ><div id=\"pg-108-0\"  class=\"panel-grid panel-no-style\" ><div id=\"pgc-108-0-0\"  class=\"panel-grid-cell\" ><div id=\"panel-108-0-0-0\" class=\"so-panel widget widget_mit-pf-wysiwyg widget_mit_pf_wysiwyg panel-first-child\" data-index=\"0\" ><div class=\"textwidget\"><h3><strong><span class=\"style_7\">DATA FILES<\/span><span class=\"style_8\">:*<br \/>\n<\/span><\/strong><\/h3>\n<ul>\n<li><span style=\"text-decoration: underline\"><b>Implied Cost of Capital and Expected Return Data<\/b>:\u00a0<a href=\"https:\/\/leesowang2021.github.io\/data\/\" target=\"_blank\" rel=\"noopener\">Data File<\/a><\/span><em><span class=\"style_13\"><span class=\"style_18\">\u00a0 \u00a0 \u00a0 \u00a0<\/span><\/span><\/em><br \/>\n<span class=\"style_13\" style=\"font-style: italic\"><strong>Paper<\/strong><\/span><i>: <a href=\"https:\/\/academic.oup.com\/rfs\/article\/34\/4\/1907\/5855684\">Evaluating Firm-Level Expected-Return Proxies: Implications for Estimating Treatment Effects<\/a><\/i><a style=\"font-style: italic\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2866522\" target=\"_blank\" rel=\"noopener\"><br \/>\n<\/a><span class=\"style_13\" style=\"font-style: italic\"><strong>Coauthor<\/strong><\/span><i>: Charles Lee and Charlie Wang<\/i><br \/>\n<span class=\"style_8\" style=\"font-style: italic\"><span class=\"style_13\"><strong>Journal<\/strong><\/span>:\u00a0<\/span><span class=\"style_8\"><span class=\"style_20\"><i>Review of Financial Studies\u00a0<\/i><br \/>\n<strong style=\"font-style: italic\">Data Range:\u00a0<\/strong><i>Updated (somewhat) regularly<\/i><br \/>\n<\/span><\/span><strong>Data Fields:\u00a0<\/strong>See link above for details<\/li>\n<\/ul>\n<\/div><\/div><div id=\"panel-108-0-0-1\" class=\"so-panel widget widget_mit-pf-wysiwyg widget_mit_pf_wysiwyg\" data-index=\"1\" ><div class=\"textwidget\"><ul>\n<li><span style=\"text-decoration: underline\"><b>Expectations Management Incentive (EMI) Data<\/b>:\u00a0<a href=\"https:\/\/www.dropbox.com\/s\/kc7u4gowjkggdgk\/EMI_RFS.csv?dl=0\" target=\"_blank\" rel=\"noopener\">Data File<\/a><\/span><em><span class=\"style_13\"><span class=\"style_18\">\u00a0 \u00a0 \u00a0 \u00a0<\/span><\/span><\/em><br \/>\n<em><span class=\"style_13\"><strong>Paper<\/strong><\/span>:\u00a0<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2866522\" target=\"_blank\" rel=\"noopener\">Expectations Management and Stock Returns<br \/>\n<\/a><span class=\"style_13\"><strong>Coauthor<\/strong><\/span>: Travis Johnson and Jinhwan Kim<br \/>\n<span class=\"style_8\"><span class=\"style_13\"><strong>Journal<\/strong><\/span>:\u00a0<\/span><span class=\"style_8\"><span class=\"style_20\">Review of Financial Studies [Accepted]<br \/>\n<strong>Data Range:\u00a0<\/strong>1985 through 2015<br \/>\n<strong>Data Type: <\/strong>Quarterly earnings announcement by firm<br \/>\n<\/span><\/span><\/em><strong>Data Fields:\u00a0<\/strong>Permno, Expected_ann_date, EMI=proxy for expectations management incentives<\/li>\n<\/ul>\n<\/div><\/div><div id=\"panel-108-0-0-2\" class=\"so-panel widget widget_mit-pf-wysiwyg widget_mit_pf_wysiwyg\" data-index=\"2\" ><div class=\"textwidget\"><ul>\n<li><span style=\"text-decoration: underline\"><strong>Daily Information Asymmetry Proxy<\/strong>:\u00a0<a href=\"https:\/\/www.dropbox.com\/s\/4hlqlws7dqs8c5o\/miadata1996to2018.sas7bdat?dl=0\" target=\"_blank\" rel=\"noopener\">Data File<\/a><\/span><em><span class=\"style_13\"><span class=\"style_18\">\u00a0 \u00a0 \u00a0 \u00a0<\/span><\/span><\/em><br \/>\n<em><span class=\"style_13\"><strong>Paper<\/strong><\/span>:\u00a0<a href=\"http:\/\/pubsonline.informs.org\/doi\/abs\/10.1287\/mnsc.2016.2608\" target=\"_blank\" rel=\"noopener\">A Simple Multimarket Measure of Information Asymmetry<br \/>\n<\/a><span class=\"style_13\"><strong>Coauthor<\/strong><\/span>: Travis Johnson<br \/>\n<span class=\"style_8\"><span class=\"style_13\"><strong>Journal<\/strong><\/span>:\u00a0<\/span><span class=\"style_8\"><span class=\"style_20\">Management Science<br \/>\n<strong>Data Range:\u00a0<\/strong>2006 through 2018<br \/>\n<strong>Data Type:\u00a0<\/strong>Firm-by-day<br \/>\n<\/span><\/span><\/em><strong>Data Fields:\u00a0<\/strong>Permno, Date, MIA=daily proxy for the fraction of traders with an information advantage<\/li>\n<\/ul>\n<\/div><\/div><div id=\"panel-108-0-0-3\" class=\"so-panel widget widget_mit-pf-wysiwyg widget_mit_pf_wysiwyg panel-last-child\" data-index=\"3\" ><div class=\"textwidget\"><ul>\n<li><span style=\"text-decoration: underline\"><strong>Annual Earnings Forecasts from Regression Model<\/strong>:\u00a0<a href=\"https:\/\/www.dropbox.com\/preview\/Documents\/Published%20Papers\/OAF\/Data\/ericso_epsforecasts.sas7bdat?share=1\" target=\"_blank\" rel=\"noopener\">Data File<\/a><\/span><em><span class=\"style_13\"><br \/><strong>Paper<\/strong><\/span>:\u00a0<a title=\"http:\/\/dx.doi.org\/10.1016\/j.jfineco.2013.02.002\" href=\"http:\/\/dx.doi.org\/10.1016\/j.jfineco.2013.02.002\" target=\"_blank\" rel=\"noopener\">A New Approach to Predicting Analyst Forecast Errors: Do Investors Overweight Analyst Forecasts?<\/a><br \/><span class=\"style_8\"><span class=\"style_13\"><strong>Journal<\/strong><\/span>:\u00a0Journal of Financial Economics\u00a0[108(3): 615-640 (June 2013)]<span class=\"style_20\"><br \/><strong>Data Range:<\/strong>\u00a01978-2016<br \/><strong>Data Type:\u00a0<\/strong>Firm-by-year<\/span><\/span><\/em><br \/><strong>Data Fields:\u00a0<\/strong>\n<ul>\n<li>GVKEY, CUSIP, FYEAR=Fiscal year of data used to calculate forecasts,<\/li>\n<li>FYR=month of fiscal year end<\/li>\n<li>ForecastDate=Date where the forecast is assumed publicly available<\/li>\n<li>WF1\/2\/3=forecasts of one-, two-, and three-years ahead earnings per share<\/li>\n<li>Shares=number of shares outstanding<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>*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.<\/p>\n<\/div><\/div><\/div><\/div><\/div>","protected":false},"excerpt":{"rendered":"<p>DATA FILES:* Implied Cost of Capital and Expected Return Data:\u00a0Data File\u00a0 \u00a0 \u00a0 \u00a0 Paper: Evaluating Firm-Level Expected-Return Proxies: Implications for Estimating Treatment Effects Coauthor: Charles Lee and Charlie Wang Journal:\u00a0Review of Financial Studies\u00a0 Data Range:\u00a0Updated (somewhat) regularly Data Fields:\u00a0See link above for details Expectations Management Incentive (EMI) Data:\u00a0Data File\u00a0 \u00a0 \u00a0 \u00a0 Paper:\u00a0Expectations Management [&hellip;]<\/p>\n","protected":false},"author":38,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"template-two-column.php","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"class_list":["post-108","page","type-page","status-publish","hentry"],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v24.0 (Yoast SEO v25.8) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>MIT Sloan Faculty: Eric So | Data Library<\/title>\n<meta name=\"description\" content=\"Eric So is the Sarofim Family Career Development Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Data Library\" \/>\n<meta property=\"og:description\" content=\"Eric So is the Sarofim Family Career Development Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/\" \/>\n<meta property=\"og:site_name\" content=\"Eric So\" \/>\n<meta property=\"article:modified_time\" content=\"2022-10-26T12:50:51+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/\",\"url\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/\",\"name\":\"MIT Sloan Faculty: Eric So | Data Library\",\"isPartOf\":{\"@id\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/#website\"},\"datePublished\":\"2018-03-11T17:19:02+00:00\",\"dateModified\":\"2022-10-26T12:50:51+00:00\",\"description\":\"Eric So is the Sarofim Family Career Development Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.\",\"breadcrumb\":{\"@id\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Data Library\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/#website\",\"url\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/\",\"name\":\"Eric So\",\"description\":\"MIT Personal Faculty\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/mitmgmtfaculty.mit.edu\/eso\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"}]}<\/script>\n<!-- \/ Yoast SEO Premium plugin. -->","yoast_head_json":{"title":"MIT Sloan Faculty: Eric So | Data Library","description":"Eric So is the Sarofim Family Career Development Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/","og_locale":"en_US","og_type":"article","og_title":"Data Library","og_description":"Eric So is the Sarofim Family Career Development Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.","og_url":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/","og_site_name":"Eric So","article_modified_time":"2022-10-26T12:50:51+00:00","twitter_card":"summary_large_image","schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/","url":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/","name":"MIT Sloan Faculty: Eric So | Data Library","isPartOf":{"@id":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/#website"},"datePublished":"2018-03-11T17:19:02+00:00","dateModified":"2022-10-26T12:50:51+00:00","description":"Eric So is the Sarofim Family Career Development Professor in the Economics, Finance, and Accounting Area of the MIT Sloan School of Management.","breadcrumb":{"@id":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/data-library\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/"},{"@type":"ListItem","position":2,"name":"Data Library"}]},{"@type":"WebSite","@id":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/#website","url":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/","name":"Eric So","description":"MIT Personal Faculty","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/?s={search_term_string}"},"query-input":{"@type":"PropertyValueSpecification","valueRequired":true,"valueName":"search_term_string"}}],"inLanguage":"en-US"}]}},"_links":{"self":[{"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/pages\/108","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/users\/38"}],"replies":[{"embeddable":true,"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/comments?post=108"}],"version-history":[{"count":38,"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/pages\/108\/revisions"}],"predecessor-version":[{"id":698,"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/pages\/108\/revisions\/698"}],"wp:attachment":[{"href":"https:\/\/mitmgmtfaculty.mit.edu\/eso\/wp-json\/wp\/v2\/media?parent=108"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}