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Rewriting History

delete2009-07-16
delete131
PRE
AI
A
Alexander Ljungqvist *
C
Christopher J. Malloy
F
Felicia C. Marston
DOI：10.1111/j.1540-6261.2009.01484.xdelete
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摘要

摘要

En 中文
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.
Keyword:
INVESTMENT BANKS
CAREER CONCERNS
DELISTING BIAS
ERROR RATES
ANALYSTS
CRSP
RECOMMENDATIONS
PERFORMANCE
PERSISTENCE
COMPUSTAT
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期刊

Journal of Finance 封面图
Journal of Finance
IF:
9.5
论文数:
4.0K
被引数:
5.0W

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H
Harvard University
学者数:
26.5W
论文数: 22.0W
被引数: 28.7W
N
New York University
学者数:
4.4W
论文数: 3.9W
被引数: 5.8W
U
University of Virginia
学者数:
3.0W
论文数: 2.7W
被引数: 4.1W
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