File descriptions:

"FinalData (Tables 1-8, 10-13).txt" contains data for Tables 1-8, 10-13.

Variable labels:

fccode				fccode
country				country
dscode				DataStream Code
year				year
trmf_fus			foreign US mutual fund ownership
trmf_fnus			foreign non-US mutual fund ownership
trmf_d				domestic mutual fund ownership
ias				international accounting standard dummy
bign				big four auditor dummy
msci				MSCI index dummy
mv				log of market capitalization
bm				log of book-to-market ratio
dy				dividend yield ratio
roe				return on equity ratio
ret				annual stock return
std_y				annulized monthly stock return
adr				ADR dummy
age				number of years since included in Datastream
ch				closely held ownership
total_press_release100		Total press release (REL = 100)
newscoverage_excl_ea		Level of newscoverage excluding earnings announcement 
disreq	disreq			Hail and Leuzs (2006) disclosure requirements index 
secreg	secreg			Hail and Leuzs (2006) securities regulation index (SEREG)
trmf_fuslt			foreign US mutual fund ownership - Long Term
trmf_fusst	trmf_fusst	foreign US mutual fund ownership - ShortTerm
trmf_fusb	trmf_fusb	foreign US mutual fund ownership - Blockholders
trmf_fusnb	trmf_fusnb	foreign US mutual fund ownership - Non-Blockholders
ana	ana			Analysts coverage
emerging			emerging country dummy
countryid			country id
industryid			industry id
stockid				stock id		
lnewscoverageFULL3		lagged log(total no. of news + 1)
ltotal_media_coverage1003	lagged winsorized total no. of media (REL = 100) / 1000
ltotal_press_release1003	lagged winsorized total no. of press release (REL = 100) / 1000
ltotal_news_flash1003		lagged winsorized total no. of news flash (REL = 100) / 1000
lnewscoverage1003		lagged winsorized no. of news (with relevance score = 100) 
lnew_information100		lagged total (scaled) number of press releases originated by firms (proxy for new information)
lattention100			lagged total (scaled) number of new flashes (proxy for attention)
lnewnews3			lagged total (scaled) number of fresh news - news items with a novelty score = 100 (proxy for new information) 
loldnews3			lagged total (scaled) number of old news - news items with a novelty score < 100 
ltrnews3			lagged winsorized total no. of Thomson Reuters news / 1000
other_lnewscoverage1003		lagged winsorized no. of news (with relevance score = 100) of other stocks
population			country's total population
volumescaled			Average scaled volume 
newscoverage_excl_ea2		winsorized value of newscoverage_excl_ea
newscoverage_excl_ea3		newscoverage_excl_ea2 / 1000
lnewscoverage_excl_ea3		lagged value of lnewscoverage_excl_ea3
lgoodnews90w			lagged (winsorized) no. of good news: ESS > 90 
lbadnews10w			lagged (winsorized) no. of bad news: ESS < 10
lgoodnews50w			lagged (winsorized) no. of good news: ESS > 50
lgoodnews75w			lagged (winsorized) no. of good news: ESS > 75
lbadnews50w			lagged (winsorized) no. of bad news: ESS < 50
lbadnews25w			lagged (winsorized) no. of bad news: ESS < 25
english				English-speaking country dummy
highana				high analyst coverage dummy
yearid				year id
countyyear			county-year id
industryyear			industry-year id
ln_population			log(population)

"FinalData (Tables 9).txt" contains data for Table 9.

Variable labels:

isin 				ISIN
fmr_b 				Foreign market beta
fmr_p 				Foreign market beta (p-value)
USmr_b 				US market beta
USmr_p 				US market beta (p-value)
news_b 				News beta 
news_p				News beta (p-value)

"Final - for publication.do" is a STATA do file that helps to generate Tables 1-13 using two datasets. 
