New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Research Institute of Industrial Economics (IFN)
Christopher J. Malloy
Harvard Business School; National Bureau of Economic Research (NBER)
Felicia C. Marston
University of Virginia - McIntire School of Commerce
April 16, 2008
AFA 2007 Chicago Meetings Paper
We document widespread ex post changes to the historical contents of the I/B/E/S analyst stock recommendations database. Across a sequence of seven downloads of the entire I/B/E/S recommendations database, obtained between 2000 and 2007, we find that between 6,594 (1.6%) and 97,579 (21.7%) of matched observations are different from one download to the next. The changes, which include alterations of recommendation levels, additions and deletions of records, and removal of analyst names, are non-random in nature: They cluster by analyst reputation, brokerage firm size and status, and recommendation boldness. The changes have a large and significant impact on the classification of trading signals and back-tests of three stylized facts: The profitability of trading signals, the profitability of changes in consensus recommendations, and persistence in individual analyst stock-picking ability.
Number of Pages in PDF File: 36
Keywords: Security analysts, Stock recommendations, Global Settlement, Career concerns, Forensic finance
JEL Classification: G21, G24, G28, J24, J44
Date posted: March 9, 2006 ; Last revised: May 18, 2010
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