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

Authors

  • DANIEL BRADLEY,

  • JONATHAN CLARKE,

  • SUZANNE LEE,

  • CHAYAWAT ORNTHANALAI

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    • Bradley is at the University of South Florida, Clarke and Lee are at Georgia Tech, and Ornthanalai is at the University of Toronto. We thank Peter Christoffersen, Robert Hansen, Patrick Kelly, Roger Loh, Vikram Nanda, Christos Pantzalis, Neil Pearson, Raghu Rau, Jay Ritter, Ronnie Sadka, Qinghai Wang, and seminar participants at the 2011 American Finance Association meetings, the 2011 Financial Intermediation Research Conference, the FDIC Derivative and Risk Management Conference, the Mathematical Finance Conference, Georgia Tech, the University of Illinois at Chicago, the University of South Florida, the University of Toronto, and the University of Georgia for helpful comments. We are especially grateful to an anonymous referee, an anonymous Associate Editor, and the Editor (Campbell Harvey) for their constructive suggestions. We also thank Incheol Kim, Xiaojing Yuan, Qian Zheng, and Ji Zhou for research assistance. This paper was previously circulated under the title “Can Analysts Surprise the Market? Evidence from Intraday Jumps.” We are responsible for any remaining errors.


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.

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