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

53 Pages Posted: 18 Mar 2010 Last revised: 26 Oct 2015

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

Date Written: January 28, 2012

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.

Keywords: Analyst recommendations, high-frequency data, news arrival, jump detection

JEL Classification: G24

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

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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