Abstract

http://ssrn.com/abstract=1571920
 
 

References (49)



 
 

Citations (2)



 


 



Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays


Daniel Bradley


University of South Florida

Jonathan Clarke


Georgia Institute of Technology - Scheller College of Business

Suzanne S. Lee


Georgia Institute of Technology - Finance Area

Chayawat Ornthanalai


University 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


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Date posted: March 18, 2010 ; Last revised: October 26, 2015

Suggested Citation

Bradley, Daniel and Clarke, Jonathan and Lee, Suzanne S. and Ornthanalai, Chayawat, Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays (January 28, 2012). Journal of Finance, Forthcoming; AFA 2011 Denver Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1571920 or http://dx.doi.org/10.2139/ssrn.1571920

Contact Information

Daniel Bradley (Contact Author)
University of South Florida ( email )
Tampa, FL 33620
United States
Jonathan Clarke
Georgia Institute of Technology - Scheller College of Business ( email )
800 West Peachtree St.
Atlanta, GA 30308
United States
404-894-4929 (Phone)
404-894-6030 (Fax)
HOME PAGE: http://mgt.gatech.edu/directory/clarke.html

Suzanne S. Lee
Georgia Institute of Technology - Finance Area ( email )
800 West Peachtree Street NW
Atlanta, GA 30332
United States
Chayawat Ornthanalai
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada

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