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Information Asymmetry Measures (view source)
Revision as of 16:23, 1 August 2012
, 16:23, 1 August 2012→Analyst Forecasts
From KS99: "the normalized forecast error, which is defined as the ratio of the forecast error in earnings to the earnings volatility of the firm. Earnings volatility is the standard deviation of the firm's detrended quarterly earnings in the five-year period before the announcement of the spin-off."
Data:*From drawn from I/B/E/S Detail Summary file pull:*Jan1978-Jan2012
*CUSIP (8Dg)
*Entire DB (US and International - both)
*EPS
*Fiscal Yr1
*Analyst CodeID: CUSIP, Company Name*Other: Forecast Period End Date, Number of Estimates, Mean Estimate , Median Estimate, Standard Deviation, High Est., Low Est., Actual Value, US Firm*Sort: Cusip, Forecast period End*Output: Tab delimited, None, YYMMDDn8 Get file:*Actual Valuef141ce3d50d517e3.txt (186.4 MB, 2563500 observations 14 variables)
Match back to COMPUSTAT to get NAICS.
