English, Article edition: Rewriting History ALEXANDER LJUNGQVIST; CHRISTOPHER MALLOY; FELICIA MARSTON

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Bookmark: http://trove.nla.gov.au/version/156083
Physical Description
  • article
Language
  • English

Edition details

Title
  • Rewriting History
Author
  • ALEXANDER LJUNGQVIST
  • CHRISTOPHER MALLOY
  • FELICIA MARSTON
Physical Description
  • article
Notes
  • 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. Copyright (c) 2009 the American Finance Association.
  • RePEc:bla:jfinan:v:64:y:2009:i:4:p:1935-1960
Language
  • English
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