Abstract

http://ssrn.com/abstract=889322
 
 

References (22)



 
 

Citations (43)



 


 



Rewriting History


Alexander Ljungqvist


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

Abstract:     
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

working papers series





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Date posted: March 9, 2006 ; Last revised: May 18, 2010

Suggested Citation

Ljungqvist, Alexander and Malloy, Christopher J. and Marston, Felicia C., Rewriting History (April 16, 2008). AFA 2007 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=889322 or http://dx.doi.org/10.2139/ssrn.889322

Contact Information

Alexander Ljungqvist
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street, Suite 9-160
New York, NY 10012-1126
United States
212-998-0304 (Phone)
212-995-4220 (Fax)
HOME PAGE: http://pages.stern.nyu.edu/~aljungqv
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
European Corporate Governance Institute (ECGI)
c/o ECARES ULB CP 114
B-1050 Brussels
Belgium
Research Institute of Industrial Economics (IFN) ( email )
Box 55665
Grevgatan 34, 2nd floor
Stockholm, SE-102 15
Sweden
Christopher J. Malloy (Contact Author)
Harvard Business School ( email )
Soldiers Field Road
Baker Library 277
Boston, MA 02163
United States
617-495-4383 (Phone)
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Felicia C. Marston
University of Virginia (UVA) - McIntire School of Commerce ( email )
P.O. Box 400173
Charlottesville, VA 22904-4173
United States
804-924-1417 (Phone)
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References:  22
Citations:  43

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