The Capitalist Vanishes

The I/B/E/S database purports to document the earnings expectations of research analysts.  The database has been used by academic researchers in hundreds of papers and is also used by the industry to rate and promote research analysts. 

A new paper, Rewriting History, claims that there has been massive tampering with the database.   Call it the capitalist vanishes.

Comparing two snapshots of the historical I/B/E/S database of research analyst stock recommendations, taken in 2002 and 2004 but each covering the same time period 1993-2002, we identify 54,729 ex post changes (out of 280,463 observations), including alterations of recommendation levels, additions and deletions of records, and removal of analyst names. The changes appear non-random across brokerage firms, analysts, and tickers, and have a significant impact on the overall distribution of recommendations across stocks and within individual stocks and brokerage firms. They also affect trading signal classifications, back-testing inferences, track records of individual analysts, and models of analysts' career outcomes in the three years following the changes.

Hat tip to Mike Kellermann at the Social Science Statistics Blog.