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Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions

  • Hoechle, Daniel

    ()

  • Schaub, nic

    ()

  • Schmid, Markus

    ()

This paper investigates the problem of time stamp errors in the IBES database, the most important data provider of analyst recommendations and forecasts currently. We compare IBES to alternative data sources and show that IBES announcement dates of both recommendations and forecasts are systematically delayed. As a consequence, announcement returns in IBES are significantly underestimated while the pre-announcement effect, which often includes the effective announcement date, is overestimated. We also show that time stamp errors in IBES differ significantly in the cross-section, driving some of the cross-sectional differences in announcement returns. Finally, we discuss how existing research is affected by time stamp errors.

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File URL: http://www1.vwa.unisg.ch/RePEc/usg/sfwpfi/WPF-1215.pdf
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Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1215.

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Length: 64 pages
Date of creation: Feb 2012
Date of revision: Sep 2015
Handle: RePEc:usg:sfwpfi:2012:15
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Web page: http://www.unisg.ch/de/Schools/Finance.aspx

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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
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  3. Womack, Kent L, 1996. " Do Brokerage Analysts' Recommendations Have Investment Value?," Journal of Finance, American Finance Association, vol. 51(1), pages 137-67, March.
  4. Roger K. Loh & René M. Stulz, 2009. "When are Analyst Recommendation Changes Influential?," NBER Working Papers 14971, National Bureau of Economic Research, Inc.
  5. Jacob, John & Lys, Thomas Z. & Neale, Margaret A., 1999. "Expertise in forecasting performance of security analysts," Journal of Accounting and Economics, Elsevier, vol. 28(1), pages 51-82, November.
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  7. Narasimhan Jegadeesh & Joonghyuk Kim & Susan D. Krische & Charles M. C. Lee, 2004. "Analyzing the Analysts: When Do Recommendations Add Value?," Journal of Finance, American Finance Association, vol. 59(3), pages 1083-1124, 06.
  8. Hugon, Artur & Muslu, Volkan, 2010. "Market demand for conservative analysts," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 42-57, May.
  9. Jung, Boochun & Shane, Philip B. & Sunny Yang, Yanhua, 2012. "Do financial analysts' long-term growth forecasts matter? Evidence from stock recommendations and career outcomes," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 55-76.
  10. Jegadeesh, Narasimhan & Kim, Woojin, 2006. "Value of analyst recommendations: International evidence," Journal of Financial Markets, Elsevier, vol. 9(3), pages 274-309, August.
  11. Brad Barber, 2001. "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns," Journal of Finance, American Finance Association, vol. 56(2), pages 531-563, 04.
  12. Alexander Ljungqvist & Christopher Malloy & Felicia Marston, 2009. "Rewriting History," Journal of Finance, American Finance Association, vol. 64(4), pages 1935-1960, 08.
  13. AltInkIlIç, Oya & Hansen, Robert S., 2009. "On the information role of stock recommendation revisions," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 17-36, October.
  14. Christophe, Stephen E. & Ferri, Michael G. & Hsieh, Jim, 2010. "Informed trading before analyst downgrades: Evidence from short sellers," Journal of Financial Economics, Elsevier, vol. 95(1), pages 85-106, January.
  15. Yonca Ertimur & Jayanthi Sunder & Shyam V. Sunder, 2007. "Measure for Measure: The Relation between Forecast Accuracy and Recommendation Profitability of Analysts," Journal of Accounting Research, Wiley Blackwell, vol. 45(3), pages 567-606, 06.
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