Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays
研究发现I/B/E/S中分析师推荐的时间戳存在系统延迟，使用新电线时间戳能捕捉到显著回报，而I/B/E/S时间戳则不能，表明分析师推荐是重要的信息渠道。
ABSTRACT 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.