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

By D. Bradley, Jonathan Clarke, Suzanne S. Lee, C. Ornthanalai. 2014

179 citations recorded by the source corpus.

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.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/21480cd9f733b2c63378d5a446da82695a4fbdb7

Citations in the corpus

• Analyst Information Discovery and Interpretation Roles: A Topic Modeling Approach (2018, unknown): “We would also like to thank the Editor, the reviewers, Zahn Bozanic, Lian Fen Lee, Weining Zhang, Bin Zhu, seminar participants at Boston College, Chinese University of Hong Kong, HKUST, IESE Business School, Nanyang Business School, Shanghai University of Finance and Economics, Singapore…”
• Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets (2016, unknown): “Following existing studies, e.g. Lee and Mykland (2008) and Bradley et al. (2014), we sample our data at the 15-min frequency.10 Table 1 presents summary statistics for the different (annualized) measures of variance.”