Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays
University of South Florida
Georgia Institute of Technology - Scheller College of Business
Suzanne S. Lee
Georgia Institute of Technology - Finance Area
University of Toronto - Rotman School of Management
January 28, 2012
Journal of Finance, Forthcoming
AFA 2011 Denver Meetings Paper
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
Date posted: March 18, 2010 ; Last revised: October 26, 2015
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