Rewriting History
发现历史I/B/E/S分析师股票推荐数据库在2000至2007年间多次下载中存在大量非随机修改，包括推荐变更、记录增删和匿名化，这些修改影响交易信号分类和三个典型事实的回测结果。
ABSTRACT We document widespread changes to the historical I/B/E/S analyst stock recommendations database. Across seven I/B/E/S downloads, obtained between 2000 and 2007, we find that between 6,580 (1.6%) and 97,582 (21.7%) of matched observations are different from one download to the next. The changes include alterations of recommendations, additions and deletions of records, and removal of analyst names. These changes are nonrandom, clustering by analyst reputation, broker size and status, and recommendation boldness, and affect trading signal classifications and back‐tests of three stylized facts: profitability of trading signals, profitability of consensus recommendation changes, and persistence in individual analyst stock‐picking ability.