From Comp stat, we collect per-share data for daily close prices in dollars, daily P/E ratios, and daily market capitalization in millions of dollars.
NEst denotes the number of analyst estimates in one month.
The participating companies range from big companies like General Electric and Microsoft to smaller companies like Bowne and Co.
and ICU Medical Inc.
They belong to ten different industry groups, with Information Technology, Energy, and Financials representing the largest groups of participating companies .
For the analysis on information intermediation, we use earnings estimates from Institutional Broker’s Estimate System, specifically one year ahead and two year ahead EPS estimates as well as the forecasted long-term growth rate.
Additionally, we cluster our sample into groups. Firstly, we analyze the firms in the industry group ‘‘Information Technology and Finance’’ and firms not in this group separately. Secondly, we distinguish between the first filers
in an industry and those participants who are not.
We do this to determine if there are industry and time idiosyncratic effects.