Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions

This paper investigates the problem of time stamp errors in the IBES database, the most important data provider of analyst recommendations and forecasts currently. We compare IBES to alternative data sources and show that IBES announcement dates of both recommendations and forecasts are systematically delayed. As a consequence, announcement returns in IBES are significantly underestimated while the pre-announcement effect, which often includes the effective announcement date, is overestimated. We also show that time stamp errors in IBES differ significantly in the cross-section, driving some of the cross-sectional differences in announcement returns. Finally, we discuss how existing research is affected by time stamp errors