36 Pages Posted: 9 Mar 2006 Last revised: 18 May 2010
Date Written: April 16, 2008
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.
Keywords: Security analysts, Stock recommendations, Global Settlement, Career concerns, Forensic finance
JEL Classification: G21, G24, G28, J24, J44
Suggested Citation: 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: https://ssrn.com/abstract=889322 or http://dx.doi.org/10.2139/ssrn.889322
By John Graham