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

Daniel Hoechle (), Nic Schaub and Markus Schmid

No 1215, Working Papers on Finance from University of St. Gallen, School of Finance

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. (search for similar items in EconPapers)
JEL-codes: G14 G24 G29 (search for similar items in EconPapers)
Date: 2012-02, Revised 2015-09
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