links for 2009-​​07-​​23

  • “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.”

links for 2009-​​07-​​19

links for 2009-​​07-​​18

links for 2009-​​07-​​17