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

• 成果类型: Article
• 署名作者: Bradley, Daniel; Clarke, Jonathan; Lee, Suzanne; Ornthanalai, Chayawat
• 署名单位: State University System of Florida; University of South Florida; University System of Georgia; Georgia Institute of Technology; University of Toronto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12107
• 发表日期: 2014
• 页码: 645-673
• 关键词: financial-markets; JUMP DYNAMICS; stock returns; real-time; volatility; news; revisions; prices; noise

摘要

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.