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Publicly available data sources:
These publicly available data are included in the folder "data"
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From the Federal Reserve (https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm), I get data on FOMC announcement dates.

From FRED, I get data on Produce Price Index announcements (https://alfred.stlouisfed.org/release?rid=46) and jobs announcements (https://alfred.stlouisfed.org/release?rid=50)


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Data obtained through Freedom of Information Act Requests: 
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From FOIA, I obtain data on insider trades by the defendants from UNITED STATES OF AMERICA - against -VITALY KORCHEVSKY VLADISLAV KHALUPSKY in Case 1:15-cr-00381-RJD-RER, as described in the government's exhibit list in Document 291.

Save these datasets to the "Raw Data" folder. 

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Data from COMPUSTAT 
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From Compustat Fundamentals Quarterly (https://wrds-www.wharton.upenn.edu/pages/get-data/compustat-capital-iq-standard-poors/compustat/north-america-daily/fundamentals-quarterly/), we get the following datasets: 
"Compustat Data"

This dataset spans following variables: 
gvkey fyearq fqtr fyr indfmt consol popsrc datafmt conm curcdq datacqtr datafqtr atq ceqq cheq cogsq csh12q cshoq epsf12 epspi12 intanq ltq niq ppentq revtq saleq xintq xoprq capxy dvy exchg costat fic prccq prchq prclq sic
For fiscal years from 2010 to 2015 and spans all firms (we later subsample to the firms in the sample). 

Save this dataset to the "Raw Data" folder. 


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Data from CRSP 
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From CRSP (https://wrds-www.wharton.upenn.edu/pages/get-data/center-research-security-prices-crsp/annual-update/stock-security-files/daily-stock-file/), we get the following datasets: 
"CRSP Data 2000-2009" and "CRSP Data".

This dataset spans following variables: 
gvkey linkprim liid linktype lpermno lpermco linkdt linkenddt iid datadate tic cusip conm cshoc cshtrd prccd trfd  cik fic
For fiscal years from 2000 to 2009 ("CRSP Data 2000-2009") and 2010 to 2015 ("CRSP Data") and spans all firms (we later subsample to the firms in the sample). 

Save these datasets to the "Raw Data" folder. 


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Data from IBES 
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From IBES (https://wrds-www.wharton.upenn.edu/pages/get-data/lseg-ibes/ibes-academic/detail-history/detail/), we get the dataset: 
"IBES".

This dataset spans following variables for EPS and Revenue for quarterly forecasts: 
ticker cusip oftic cname actdats estimator analys currfl pdf fpi measure value curr usfirm fpedats acttims revdats revtims anndats anntims actual actdats_act acttims_act anndats_act anntims_act curr_act report_curr
For fiscal years from 2000 to 2015 and spans all firms (we later subsample to the firms in the sample). 

Save these datasets to the "Raw Data" folder. 


From IBES (https://wrds-www.wharton.upenn.edu/pages/get-data/lseg-ibes/ibes-guidance/detail-history/detail/), we get the dataset: 
"Guidance Raw". 

This dataset spans following variables: 
ticker pdicity measure curr units range_desc diff_code act_std action guidance_code actdats anndats mod_date acttims anntims mod_time prd_yr prd_mon eefymo val_1 val_2 mean_at_date usfirm

For fiscal years from 2000 to 2015 and spans all firms (we later subsample to the firms in the sample). 

Save these datasets to the "Raw Data" folder. 


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Data from Ravenpack 
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From Ravenpack (https://www.ravenpack.com/), we get datasets on media coverage and sentiment for firms in our sample from 2010 to 2015. 

The dataset includes the following variables: 
timestamp rp_entity_id cusip type entity_name ess ens g_ens css bee ber

Save these datasets to the "\Raw Data\Ravenpack" folder. 


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Data from TAQ
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From WRDS TAQ (https://wrds-www.wharton.upenn.edu/pages/get-data/nyse-trade-and-quote/millisecond-trade-and-quote-daily-product-2003-present-updated-daily/taq-millisecond-tools/millisecond-intraday-indicators-by-wrds/), we get data on intraday volume and prices. 

The dataset includes the following variables: 
date sym_root sym_suffix symbol cprc oprc size_1pm ttime_1pm ptime_1pm ttime_4pm ptime_4pm ptime_open nbbot_1pm nbo_1pm nbb_1pm nboqty_1pm nbbqty_1pm nbbot_4pm nbo_4pm nbb_4pm nboqty_4pm nbbqty_4pm price_low_m price_high_m avg_price_m total_dollar_m vw_price_m total_dollar_b vw_price_b total_dollar_a ret_mkt_m buy_dv_tick sell_dv_tick vwavg_buy_price_tick vwavg_sell_price_tick quotedspread_percent_tw effectivespread_dollar_ave effectivespread_percent_ave percentpriceimpact_lr_ave dollarrealizedspread_lr_sw dollarrealizedspread_lr_dw percentrealizedspread_lr_sw percentpriceimpact_lr_sw percentpriceimpact_lr_dw ivol_t bs_ratio_vol tsignsqrtdvol1 tsignsqrtdvol2

For each year of data from 2010 to 2015, save a file named the year of the data in the "\Raw Data\Intraday" folder. 








