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Data definition:
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 ANNDATS: Adjusted earnings announcement date by matching COMPUSTAT and I/B/E/S announcement dates.
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 FPEDATS: Fiscal quarter end reported in I/B/E/S (consistent with Compustat)
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 PERMNO : CRSP security identifier
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 DSKC_IO: Deseasonalized sky cloud coverage, defined as the mean daily logarithmic cloud cover from day t – 14 to t – 1 minus the mean daily logarithmic cloud cover for the same month during the entire sample period, holding-weighted across a firm’s top ten institutional investors. We use data from weather stations located within 50 kilometers to the centroid of an institution’s zip code.


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 DUPW_IO: Deseasonalized unpleasant weather, defined as the mean unpleasant weather measure from day t – 14 to t – 1 minus the mean unpleasant weather measure for the same calendar month during the entire sample period, holding-weighted across a firm’s top ten institutional investors. The daily unpleasant weather measure is the principal component of the daily logarithmic cloud cover, logarithmic wind speed, and logarithmic precipitation of an institution’s location. We use data from weather stations located within 50 kilometers to the centroid of an institution’s zip code.
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Frequency: Security and Earnings Announcement Date Panel Data
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Data range: 1990-2016 (Data from 1990 are required to construct our measures so the earnings announcement sample starts from 1991)
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For details of the definition, please refer to:
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Danling Jiang, Dylan Norris, and Lin Sun, "Weather, Institutional Investors, and Earnings News," Journal of Corporate Finance, 2021(69), Article 101990
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Please cite our paper if you use the data in your work. Thank you!
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