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Information Asymmetry Measures (view source)
Revision as of 14:56, 1 August 2012
, 14:56, 1 August 2012→Rejecting for now...
*Sources include 'Thompson 13' (Tetlock 2010), 'Value Line Investment Survey' (Emery and Switzer 1999), 'Compact Disclosure' data base of 13f filings (Utama and Cready 1997), 'CDA/Investnet' (Aboody and Lev 2000), etc.
*It appears that Thomson 13, which was formerly CDA/Spectrum is now available through WRDS.
*Likewise, also under Thompson Reuters is the s12 S12 data which details mutual fund holdings.*There is also BlockHolders data in WRDS that covers 1,913 firms for the period 1996-2001. This is clean data from the paper by Gompers et al.
===Microstructure Measures===
