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Title: Rewriting History
Authors: Ljungqvist, Alexander
Malloy, Christopher
Marston, Felicia
Keywords: Security analysts;Stock recommendations;Global Settlement;Stock-picking ability;Forensic finance
Issue Date: 16-Apr-2008
Series/Report no.: FIN-06-004
Abstract: We document widespread ex post changes to the historical contents of the I/B/E/S analyst stock recommendations database. Across a sequence of seven downloads of the entire I/B/E/S recommendations database, obtained between 2000 and 2007, we find that between 6,594 (1.6%) and 97,579 (21.7%) of matched observations are different from one download to the next. The changes, which include alterations of recommendation levels, additions and deletions of records, and removal of analyst names, are non-random in nature: They cluster by analyst reputation, brokerage firm size and status, and recommendation boldness. The changes have a large and significant impact on the classification of trading signals and back-tests of three stylized facts: The profitability of trading signals, the profitability of changes in consensus recommendations, and persistence in individual analyst stock-picking ability.
URI: http://hdl.handle.net/2451/27384
Appears in Collections:Finance Working Papers

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