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Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp DelaysDaniel J. BradleyUniversity of South Florida Jonathan ClarkeGeorgia Institute of Technology - Finance Area Suzanne S. LeeGeorgia Institute of Technology - Finance Area Chayawat OrnthanalaiUniversity of Toronto - Rotman School of Management January 28, 2012 Journal of Finance, Forthcoming AFA 2011 Denver Meetings Paper Abstract: We demonstrate that time stamps reported in I/B/E/S for analysts’ recommendations released during trading hours are systematically delayed. Using newswire-reported time stamps, we find 30-minute returns of 1.83% (-2.10%) for upgrades (downgrades), but for this subset of recommendations we find corresponding returns of -0.07% (-0.09%) using I/B/E/S-reported time stamps. We also examine the information content of recommendations relative to management guidance and earnings announcements. Our evidence suggests that analysts’ recommendations are the most important information disclosure channel examined.
Number of Pages in PDF File: 53 Keywords: Analyst recommendations, high-frequency data, news arrival, jump detection JEL Classification: G24 Accepted Paper SeriesDate posted: March 18, 2010 ; Last revised: February 5, 2013Suggested CitationContact Information
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