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

Daniel Hoechle, Nic Schaub & Markus Schmid

versione breve This paper investigates the problem of time stamp errors in the IBES database. We show that IBES did not store the original announcement date of both recommendations and forecasts on U.S. stocks until 2001 and even later for other countries. The announcement date in IBES is of-ten effectively the date on which the information was recorded by IBES and, therefore, systemat-ically delayed. Using event study analysis and comparing IBES to alternative data sources, we show that the announcement day effect is underestimated in IBES while pre-announcement re-turns are overestimated as they often include the effective announcement day. We also show that time stamp errors in IBES are not randomly distributed in the cross-section but differ significant-ly across several firm, broker, and analyst characteristics. A consequence is that cross-sectional differences in announcement returns may be driven by cross-sectional differences in time stamp errors. We also show how existing research is affected by time stamp errors in IBES. Finally, we suggest three alternative ways to mitigate the time stamp error problem in daily IBES data.
   
tipo bozza lavoro (English)
   
parole chiave Analyst recommendations; Analyst forecasts; Stock price reaction; Pre-announcement effect; Time stamp errors; Data providers
   
data di apparenza 2013
issuer institution Universit├Ąt St. Gallen
titolo della serie SoF Working Paper Series
Editore s/bf - HSG (St. Gallen)
review not review
   
citation Hoechle, D., Schaub, N., & Schmid, M., Universit├Ąt St. Gallen (Eds.), (2013). Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecasts Revisions. SoF Working Paper Series. St. Gallen: s/bf - HSG.