Firm-Level Full Sample Descriptives

Statistic N Mean St. Dev. Pctl(25) Median Pctl(75)
Number of Analysts 4,956 6.189 4.504 3 5 9
Number of Analyst-Call Level Observations 4,956 32.515 38.682 6 16 45
Variance(I(Questions Contain FLS)) 4,601 0.093 0.088 0.000 0.083 0.140
Variance(Fraction FLS) 4,601 0.098 0.051 0.069 0.095 0.124

Descriptives - Alternative Data Usage

Statistic N Mean St. Dev. Pctl(25) Median Pctl(75)
I(Alt Data Report Past 4Q) 161,143 0.041 0.198 0 0 0
I(Alt Data Report Past 8Q) 161,143 0.065 0.247 0 0 0
I(Questions Contain FLS) 161,143 0.882 0.323 1 1 1
Fraction FLS Questions 161,143 0.628 0.342 0.400 0.667 1.000
I(Contains Short FLS) 161,143 0.415 0.493 0 0 1
Fraction Short Questions 161,143 0.203 0.295 0.000 0.000 0.333
I(Contains Long FLS) 161,143 0.184 0.388 0 0 0
Fraction Long Questions 161,143 0.085 0.214 0.000 0.000 0.000

Analyst Use of FLS and Alternative Data - Firm FE

Dependent variable:
I(Questions Contain FLS) Fraction FLS Questions
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.010** 0.009**
t = 2.290 t = 2.049
I(Alt Data Report Past 8Q) 0.006* 0.007**
t = 1.690 t = 1.994
SUE Decile 0.001 0.001 -0.002 -0.002
t = 0.230 t = 0.238 t = -0.671 t = -0.664
Size -0.002 -0.002 0.001 0.001
t = -0.855 t = -0.829 t = 0.290 t = 0.308
BTM 0.001 0.001 -0.002 -0.002
t = 0.316 t = 0.320 t = -0.758 t = -0.755
Number of Questions 0.027*** 0.027*** -0.050*** -0.050***
t = 46.995 t = 46.994 t = -83.923 t = -83.924
Firm and Year FE Yes Yes Yes Yes
Observations 161,055 161,055 161,055 161,055
Adjusted R2 0.036 0.036 0.113 0.113
Dependent variable:
I(Contains Short FLS) Fraction Short Questions
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.022*** 0.011***
t = 3.439 t = 2.832
I(Alt Data Report Past 8Q) 0.017*** 0.009***
t = 3.205 t = 2.767
SUE Decile -0.006 -0.006 -0.005** -0.005**
t = -1.391 t = -1.378 t = -2.000 t = -1.990
Size -0.008*** -0.008*** -0.003 -0.003
t = -2.909 t = -2.877 t = -1.553 t = -1.528
BTM 0.004 0.004 0.004 0.004
t = 0.962 t = 0.968 t = 1.527 t = 1.531
Constant 0.057*** 0.057*** -0.013*** -0.013***
t = 65.716 t = 65.714 t = -24.647 t = -24.648
Firm and Year FE Yes Yes Yes Yes
Observations 161,055 161,055 161,055 161,055
Adjusted R2 0.089 0.089 0.036 0.036
Dependent variable:
I(Contains Long FLS) Fraction Long Questions
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.005 0.001
t = 1.053 t = 0.287
I(Alt Data Report Past 8Q) 0.008* 0.003
t = 1.909 t = 1.381
SUE Decile 0.008** 0.008** 0.003 0.003
t = 2.269 t = 2.273 t = 1.542 t = 1.543
Size 0.003 0.003 0.002* 0.002*
t = 1.383 t = 1.383 t = 1.693 t = 1.685
BTM -0.002 -0.002 -0.0002 -0.0002
t = -0.740 t = -0.741 t = -0.141 t = -0.143
Constant 0.023*** 0.023*** -0.010*** -0.010***
t = 32.433 t = 32.433 t = -25.077 t = -25.077
Firm and Year FE Yes Yes Yes Yes
Observations 161,055 161,055 161,055 161,055
Adjusted R2 0.034 0.034 0.024 0.024

Analyst Use of FLS and Alternative Data - No Firm FE

Dependent variable:
I(Questions Contain FLS) Fraction FLS Questions
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.003 0.009**
t = 0.827 t = 2.179
I(Alt Data Report Past 8Q) 0.0002 0.007**
t = 0.073 t = 2.150
SUE Decile -0.001 -0.001 0.013*** 0.013***
t = -0.495 t = -0.487 t = 5.080 t = 5.081
Size -0.005*** -0.005*** 0.021*** 0.021***
t = -10.660 t = -10.616 t = 42.316 t = 42.269
BTM 0.012*** 0.012*** -0.009*** -0.009***
t = 8.451 t = 8.439 t = -6.157 t = -6.159
Year FE Yes Yes Yes Yes
Observations 161,055 161,055 161,055 161,055
Adjusted R2 0.002 0.002 0.026 0.026
Dependent variable:
I(Contains Short FLS) Fraction Short Questions
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.020*** 0.014***
t = 3.162 t = 3.835
I(Alt Data Report Past 8Q) 0.016*** 0.012***
t = 3.120 t = 4.124
SUE Decile -0.005 -0.005 0.006** 0.006**
t = -1.422 t = -1.421 t = 2.406 t = 2.405
Size -0.026*** -0.026*** 0.002*** 0.002***
t = -35.451 t = -35.461 t = 5.153 t = 5.091
BTM 0.011*** 0.011*** -0.007*** -0.007***
t = 4.926 t = 4.923 t = -5.142 t = -5.140
Year FE Yes Yes Yes Yes
Observations 161,055 161,055 161,055 161,055
Adjusted R2 0.010 0.010 0.003 0.003
Dependent variable:
I(Contains Long FLS) Fraction Long Questions
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.0002 0.001
t = 0.031 t = 0.385
I(Alt Data Report Past 8Q) 0.003 0.004*
t = 0.872 t = 1.671
SUE Decile 0.008** 0.008** 0.008*** 0.008***
t = 2.561 t = 2.553 t = 4.830 t = 4.817
Size 0.003*** 0.003*** 0.010*** 0.010***
t = 5.156 t = 5.101 t = 31.120 t = 31.017
BTM 0.013*** 0.013*** -0.0001 -0.0001
t = 7.232 t = 7.245 t = -0.074 t = -0.055
Year FE Yes Yes Yes Yes
Observations 161,055 161,055 161,055 161,055
Adjusted R2 0.001 0.001 0.008 0.008

High Vs. Low Coverage Brokerages

High cover at least 1000 firms in the full sample and include: Credit Suisse, Wells Fargo, JP Morgan , Morgan Stanley, Jefferies, RBC, Deutsche Bank, Barclays

Dependent variable:
I(Questions Contain FLS) Fraction FLS Questions
High Brokerage Coverage Low Brokerage Coverage High Brokerage Coverage Low Brokerage Coverage
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.010* 0.004 0.003 0.015*
t = 1.947 t = 0.503 t = 0.559 t = 1.832
I(Alt Data Report Past 8Q) -0.004 0.005 -0.007* 0.007*
t = -0.982 t = 1.087 t = -1.865 t = 1.721
SUE Decile -0.003 -0.006* 0.005* 0.006**
t = -0.970 t = -1.819 t = 1.658 t = 2.029
Size 0.003 -0.002 -0.002 -0.001
t = 0.850 t = -0.372 t = -0.444 t = -0.245
Firm and Year FE Yes Yes Yes Yes
Chi-Squared 0.399 1.459
p-value 0.528 0.227
Observations 91,641 69,414 91,641 69,414
Adjusted R2 0.024 0.033 0.075 0.072
Dependent variable:
I(Contains Short FLS) Fraction Short Questions
High Brokerage Coverage Low Brokerage Coverage High Brokerage Coverage Low Brokerage Coverage
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.023*** 0.005 0.010** 0.003
t = 2.846 t = 0.405 t = 2.076 t = 0.510
I(Alt Data Report Past 8Q) -0.008 -0.007 -0.005 -0.007*
t = -1.359 t = -1.168 t = -1.339 t = -1.839
SUE Decile -0.013*** -0.015*** -0.001 -0.003
t = -3.253 t = -3.415 t = -0.549 t = -1.002
Size 0.006 0.002 0.004 0.005
t = 1.093 t = 0.385 t = 1.101 t = 1.367
Firm and Year FE Yes Yes Yes Yes
Chi-Squared 1.558 0.691
p-value 0.212 0.406
Observations 91,641 69,414 91,641 69,414
Adjusted R2 0.060 0.087 0.038 0.038
Dependent variable:
I(Contains Long FLS) Fraction Long Questions
High Brokerage Coverage Low Brokerage Coverage High Brokerage Coverage Low Brokerage Coverage
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.003 0.005 -0.003 0.003
t = 0.513 t = 0.516 t = -0.683 t = 0.672
I(Alt Data Report Past 8Q) 0.005 0.010** 0.003 0.004
t = 1.112 t = 2.068 t = 1.004 t = 1.509
SUE Decile 0.001 0.001 0.004** 0.003
t = 0.398 t = 0.373 t = 1.995 t = 1.572
Size -0.0005 -0.008 -0.0003 -0.0005
t = -0.118 t = -1.563 t = -0.119 t = -0.179
Firm and Year FE Yes Yes Yes Yes
Chi-Squared 0.019 0.902
p-value 0.891 0.342
Observations 91,641 69,414 91,641 69,414
Adjusted R2 0.028 0.032 0.022 0.018

High Vs. Low Coverage Brokerages (No Firm FE)

Dependent variable:
I(Questions Contain FLS) Fraction FLS Questions
High Brokerage Coverage Low Brokerage Coverage High Brokerage Coverage Low Brokerage Coverage
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.005 -0.005 0.001 0.018**
t = 1.033 t = -0.665 t = 0.142 t = 2.352
I(Alt Data Report Past 8Q) -0.004 0.001 0.010*** 0.015***
t = -1.116 t = 0.350 t = 2.892 t = 3.986
SUE Decile -0.003*** -0.009*** 0.021*** 0.017***
t = -3.994 t = -13.154 t = 29.394 t = 23.023
Size 0.012*** 0.013*** -0.010*** -0.010***
t = 6.449 t = 5.487 t = -4.869 t = -4.332
Year FE Yes Yes Yes Yes
Chi-Squared 1.253 3.491
p-value 0.263 0.062*
Observations 91,641 69,414 91,641 69,414
Adjusted R2 0.002 0.004 0.024 0.021
Dependent variable:
I(Contains Short FLS) Fraction Short Questions
High Brokerage Coverage Low Brokerage Coverage High Brokerage Coverage Low Brokerage Coverage
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) 0.026*** -0.002 0.015*** 0.004
t = 3.532 t = -0.153 t = 3.241 t = 0.680
I(Alt Data Report Past 8Q) -0.0003 -0.012** 0.010*** -0.001
t = -0.061 t = -2.095 t = 3.004 t = -0.200
SUE Decile -0.022*** -0.031*** 0.002*** -0.001
t = -21.377 t = -29.096 t = 3.269 t = -0.858
Size 0.005* 0.020*** -0.010*** -0.002
t = 1.834 t = 5.699 t = -5.770 t = -1.134
Year FE Yes Yes Yes Yes
Chi-Squared 4.355 1.954
p-value 0.037** 0.162
Observations 91,641 69,414 91,641 69,414
Adjusted R2 0.007 0.014 0.003 0.001
Dependent variable:
I(Contains Long FLS) Fraction Long Questions
High Brokerage Coverage Low Brokerage Coverage High Brokerage Coverage Low Brokerage Coverage
(1) (2) (3) (4)
I(Alt Data Report Past 4Q) -0.003 0.004 -0.003 0.006
t = -0.525 t = 0.446 t = -0.747 t = 1.255
I(Alt Data Report Past 8Q) 0.004 0.012*** 0.007*** 0.008***
t = 0.951 t = 2.629 t = 3.093 t = 3.683
SUE Decile 0.002*** 0.002** 0.009*** 0.009***
t = 2.866 t = 2.513 t = 19.653 t = 20.887
Size 0.014*** 0.011*** -0.0004 -0.00004
t = 5.930 t = 3.925 t = -0.305 t = -0.028
Year FE Yes Yes Yes Yes
Chi-Squared 0.442 2.099
p-value 0.506 0.147
Observations 91,641 69,414 91,641 69,414
Adjusted R2 0.001 0.001 0.007 0.008