Hoechle, Daniel; Schaub, nic; Schmid, Markus - School of Finance, Universität St. Gallen - 2012
This paper investigates the problem of time stamp errors in the IBES database. We show that IBES did not store the … announcement day. We also show that time stamp errors in IBES are not randomly distributed in the cross-section but differ … announcement returns may be driven by cross-sectional differences in time stamp errors. We also show how existing research is …
