53 Pages Posted: 18 Mar 2010 Last revised: 26 Oct 2015
Date Written: January 28, 2012
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.
Keywords: Analyst recommendations, high-frequency data, news arrival, jump detection
JEL Classification: G24
Suggested Citation: 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: https://ssrn.com/abstract=1571920 or http://dx.doi.org/10.2139/ssrn.1571920