Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions

51 Pages Posted: 23 Apr 2016

See all articles by Daniel Hoechle

Daniel Hoechle

FHNW School of Business - Institute for Finance; University of Basel - Department of Finance

Nic Schaub

WHU - Otto Beisheim School of Management

Markus Schmid

University of St. Gallen - Swiss Institute of Banking and Finance; University of St. Gallen - School of Finance

Date Written: October 29, 2015

Abstract

This paper investigates the problem of time stamp errors in the IBES database, the most important data provider of analyst recommendations and forecasts currently. We compare IBES to alternative data sources and show that IBES announcement dates of both recommendations and forecasts are systematically delayed. As a consequence, announcement returns in IBES are significantly underestimated while the pre-announcement effect, which often includes the effective announcement date, is overestimated. We also show that time stamp errors in IBES differ significantly in the cross-section, driving some of the cross-sectional differences in announcement returns. Finally, we discuss how existing research is affected by time stamp errors.

Keywords: time stamp errors, IBES database, analyst recommendations, analyst forecasts, stock price reaction, pre-announcement effect

JEL Classification: G14, G24, G29

Suggested Citation

Hoechle, Daniel and Schaub, Nic and Schmid, Markus, Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions (October 29, 2015). Available at SSRN: https://ssrn.com/abstract=2768194 or http://dx.doi.org/10.2139/ssrn.2768194

Daniel Hoechle

FHNW School of Business - Institute for Finance ( email )

Peter Merian-Strasse 86
Basel, CH-4002
Switzerland
+41 61 279 17 73 (Phone)

University of Basel - Department of Finance ( email )

Peter Merian-Weg 6
Basel, CH-4002
Switzerland

Nic Schaub (Contact Author)

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179
Germany

Markus Schmid

University of St. Gallen - Swiss Institute of Banking and Finance ( email )

Rosenbergstrasse 52
St. Gallen, 9000
Switzerland

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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